EFC17

Energy Finance Christmas Workshop (EFC17)

13-15.12.2017, Kraków (Cracow), Poland

EFC17 is the 7th event in the highly successful series of Energy Finance Christmas workshops. It is set in the historical capital of Poland, boasting Europe's largest medieval market square, the Wawel royal castle, the medieval university building of Collegium Maius, and the Jewish quarter of Kazimierz.

Venue

Cracow University of Economics
Rakowicka 27, 31-510 Kraków (Cracow), Poland
Building G, room 13 (G13; see the Campus map below)

Invited speakers

  • Clemence Alasseur, FiME / EDF R&D, France
  • Derek Bunn, London Business School, UK
  • Michael Coulon, University of Sussex, UK
  • Maria Flora, University of Padova, Italy
  • Angelica Gianfreda, University of Bolzano, Italy
  • Luigi Grossi, University of Verona, Italy
  • Takashi Kanamura, University of Kyoto, Japan
  • Rüdiger Kiesel, University of Duisburg-Essen, Germany
  • Maciej Kostrzewski, Cracow University of Economics, Poland
  • Sergei Kulakov, University of Duisburg-Essen, Germany
  • Carlo Lucheroni, University of Camerino, Italy (*)
  • Katarzyna Maciejowska, Wrocław University of Science and Technology, Poland
  • Grzegorz Marcjasz, Wrocław University of Science and Technology, Poland
  • Jacek Osiewalski, Cracow University of Economics, Poland
  • Florentina Paraschiv, NTNU, Trondheim, Norway (*)
  • Marco Piccirilli, University of Padova, Italy
  • Paulina Rowińska, Imperial College London, UK
  • Michael Schuerle, University of St Gallen, Switzerland (*)
  • Tomasz Sikorski, Polish Transmission System Operator (PSE S.A.), Poland
  • Artur Świętanowski, Polish Transmission System Operator (PSE S.A.), Poland
  • Neda Todorova, Griffith University, Brisbane, Australia (*)
  • Stefan Trück, Macquarie University, Sydney, Australia (*)
  • Bartosz Uniejewski, Wrocław University of Science and Technology, Poland
  • Tiziano Vargiolu, University of Padova, Italy
  • Sjur Westgaard, NTNU, Trondheim, Norway
  • Florian Ziel, University of Duisburg-Essen, Germany

(*) Last minute drop outs

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Program

Wednesday, 13.12.2017

11:00-12:00 Welcome & registration, chair: Monika Papież and Sławomir Śmiech

12:00-13:30 Intraday electricity markets, chair: Rafał Weron (3x30min talks)

  • Derek Bunn, Statistical arbitrage and information delays in electricity balancing markets (with Stefan Kermer)
  • Katarzyna Maciejowska, Forecasting the spread between day-ahead and real-time electricity prices [Slides pdf 0.9 MB]
  • Sjur Westgaard, Forecasting price distributions in the German electricity market (with Florentina Paraschiv, Lina L. Ekern, Ingrid Naustdal and Malene Roland) [Slides pdf 2.0 MB]

13:30-14:30 Lunch

14:30-16:00 Challenges in the energy markets - part I, chair: Derek Bunn (3x30min talks)

  • Tomasz Sikorski, Artur Świętanowski Challenges in the energy markets - power system operator's perspective (with Marcin Czupryna)
  • Clemence Alasseur, Mean Field Games and local storages in the power system (with Imen Ben Tahar and Anis Matoussi) [Slides pdf 3.6 MB]
  • Tiziano Vargiolu, Capacity markets and the pricing of reliability options (with Luisa Andreis, Maria Flora and Fulvio Fontini) [Slides pdf 1.6 MB]

16:00-16:30 Coffee break

16:30-18:00 Electricity price forecasting - part I, chair: Angelica Gianfreda (3x30min talks)

  • Florian Ziel, Short- to mid-term day-ahead electricity price forecasting using futures (with Rick Steinert) [Slides pdf 1.6 MB]
  • Bartosz Uniejewski, Variance stabilizing transformations for electricity spot price forecasting: Simple autoregressive models and beyond (with Rafał Weron and Florian Ziel) [Slides pdf 2.3 MB]
  • Sergei Kulakov, Modeling a non-linear impact of renewable energy forecasts on intra-day electricity prices (with Florian Ziel) [Slides pdf 0.8 MB]

18:00-22:00 Visit to the Christmas market in the city center of Kraków

Thursday, 14.12.2017

09:00-11:00 Challenges in the energy markets - part II, chair: Katarzyna Maciejowska (4x30min talks)

  • Takashi Kanamura, Supply-side perspective for carbon pricing [Slides pdf 0.5 MB]
  • Sławomir Śmiech, Volatility spillover patterns in the financial and commodity markets (with Monika Papież) [Slides pdf 1.6 MB]
  • Maria Flora, Optimal cross-border electricity trading (with Alvaro Cartea, Georgi Slavov and Tiziano Vargiolu) [Slides pdf 1.8 MB]
  • Rüdiger Kiesel, Modelling market order arrivals on the intraday power market for deliveries in Germany with Hawkes processes with parametric kernel [Slides pdf 1.4 MB]

11:00-11:30 Coffee break

11:30-13:30 Contingent valuation, chair: Rüdiger Kiesel (4x30min talks)

  • Kamil Makieła, Jacek Osiewalski, Cost efficiency analysis of electricity distribution sector under model uncertainty [Slides pdf 0.5 MB]
  • Marco Piccirilli, Mean-reverting no-arbitrage additive models for forward curves in energy markets (with Luca Latini and Tiziano Vargiolu) [Slides pdf 1.3 MB]
  • Paulina Rowińska, Blowing in the wind (with Almut Veraart and Olivier Feron) [Slides pdf 3.6 MB]
  • Michael Coulon, Spread option pricing: implied volatility implied from implied correlation (with Elisa Alòs) [Slides pdf 0.7 MB]

13:30-14:30 Lunch

16:00-22:00 Wieliczka Salt Mine tour and workshop dinner

Friday, 15.12.2017

09:00-11:00 Electricity price forecasting - part II, chair: Florian Ziel (4x30min talks)

  • Angelica Gianfreda, Model risk in energy markets (with Giacomo Scandolo)
  • Grzegorz Marcjasz, On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks (with Bartosz Uniejewski and Rafał Weron) [Slides pdf 1.5 MB]
  • Luigi Grossi, A new robust approach to volatility forecasting on electricity markets (with Lisa Crosato and Fany Nan) [Slides pdf 3.8 MB]
  • Maciej Kostrzewski, Bayesian pooling approach in forecasting electricity prices (with Jadwiga Kostrzewska)

11:00-12:00 Coffee break and Workshop wrap-up

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Participants

Participation is by invitation only. List of participants: [pdf 430 KB]

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Getting there

The University campus is within a short walk from the old town centre and major communication hubs. The campus is located at 27 Rakowicka Street, near the main railway station (see the map).

Campus map (click here to enlarge): Map

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Hotels nearby

Suggested hotels (for a full list see booking.com):

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