Energy Finance Christmas Workshop (EFC17)
13-15.12.2017, Krak贸w (Cracow), Poland
EFC17 was the 7th event in the highly successful series of Energy Finance Christmas workshops. It was 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 Krak贸w (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
- R眉diger 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, Wroc艂aw University of Science and Technology, Poland
- Grzegorz Marcjasz, Wroc艂aw 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 Rowi艅ska, Imperial College London, UK
- Michael Schuerle, University of St Gallen, Switzerland (*)
- Tomasz Sikorski, Polish Transmission System Operator (PSE S.A.), Poland
- Artur 艢wi臋tanowski, Polish Transmission System Operator (PSE S.A.), Poland
- Neda Todorova, Griffith University, Brisbane, Australia (*)
- Stefan Tr眉ck, Macquarie University, Sydney, Australia (*)
- Bartosz Uniejewski, Wroc艂aw 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
Program
- Abstracts: [
570 KB] - Slides: see below
- Photo album
Wednesday, 13.12.2017
11:00-12:00 Welcome & registration, chair: Monika Papie偶 and S艂awomir 艢miech
12:00-13:30 Intraday electricity markets, chair: Rafa艂 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 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 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 艢wi臋tanowski 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 3.6 MB]
- Tiziano Vargiolu, Capacity markets and the pricing of reliability options (with Luisa Andreis, Maria Flora and Fulvio Fontini) [Slides 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 1.6 MB]
- Bartosz Uniejewski, Variance stabilizing transformations for聽electricity聽spot price forecasting: Simple autoregressive models and beyond (with Rafa艂 Weron and Florian Ziel) [Slides 2.3 MB]
- Sergei Kulakov, Modeling a non-linear impact of renewable energy forecasts on intra-day electricity prices (with Florian Ziel) [Slides 0.8 MB]
18:00-22:00 Visit to the Christmas market in the city center of Krak贸w
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 0.5 MB]
- S艂awomir 艢miech, Volatility spillover patterns in the financial and commodity markets (with Monika Papie偶) [Slides 1.6 MB]
- Maria Flora, Optimal cross-border electricity trading (with Alvaro Cartea, Georgi Slavov and Tiziano Vargiolu)
- R眉diger Kiesel, Modelling market order arrivals on the intraday power market for deliveries in Germany with Hawkes processes with parametric kernel [Slides 1.4 MB]
11:00-11:30 Coffee break
11:30-13:30 Contingent valuation, chair: R眉diger Kiesel (4x30min talks)
- Kamil Makie艂a, Jacek Osiewalski, Cost efficiency analysis of electricity distribution sector under model uncertainty [Slides 0.5 MB]
- Marco Piccirilli, Mean-reverting no-arbitrage additive models for forward curves in energy markets (with Luca Latini and Tiziano Vargiolu) [Slides 1.3 MB]
- Paulina Rowi艅ska, Blowing in the wind (with Almut Veraart and Olivier Feron)
[Slides 3.6 MB]
- Michael Coulon, Spread option pricing: implied volatility implied from implied correlation (with Elisa Al貌s) [Slides 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 Rafa艂 Weron) [Slides 1.5 MB]
- Luigi Grossi, A new robust approach to volatility forecasting on electricity markets (with Lisa Crosato and Fany Nan) [Slides 3.8 MB]
- Maciej Kostrzewski, Bayesian pooling approach in forecasting electricity prices (with Jadwiga Kostrzewska) [Slides 0.7 MB]
11:00-12:00 Coffee break and Workshop wrap-up
Participants
Participation is by invitation only. List of participants: [ 430 KB]
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):
Hotels nearby
Suggested hotels (for a full list see booking.com):
- Premium: Mercure Krak贸w Stare Miasto, PURO Hotel Krak贸w Stare Miasto, Vienna House Andel's Cracow
- Economy: IBIS Krak贸w Stare Miasto, Vienna House Easy Chopin Cracow
- Budget: IBIS BUDGET Krak贸w Stare Miasto