Energy Finance Christmas Workshop (EFC18)

12-13.12.2018, Bolzano (Bozen), Italy

EFC18 is the 8th event in the highly successful series of Energy Finance Christmas workshops. It is set in the capital city of the province of South Tyrol (Alto Adige), ranked in 2014 as having the Best Quality of Life in Italy.

The workshop is organized by Angelica Gianfreda (unibz), with the help of Federico Boffa (unibz), F. Marta L. Di Lascio (unibz), Fabrizio Durante (Universita' del Salento), Enrico Foscolo (unibz), Francesco Ravazzolo (unibz), Luca Rossini (unibz) and Giacomo Scandolo (Universita’ di Firenze). EFC18 is partially supported by the FoMoPM project Forecasting and Monitoring Electricity Prices and Volumes (PI Angelica Gianfreda), approved by the Central Research Committee of the Free University of Bozen-Bolzano.


Free University of Bozen-Bolzano
Piazza Università 1, Bolzano (Universitätsplatz 1, Bozen), 39100 Italy

Event Manager:
Alessandra Volpato, Secretariat of the Faculty of Economics and Management
E-mail: alessandra.volpato@unibz.it, phone: +39-0471-013012.

Invited speakers

  • Roberto Casarin, Ca' Foscari University of Venice, Italy
  • Federico Clementi, REF-E, Italy
  • Michael Coulon, University of Sussex, UK (*)
  • Michele Dalena, TERNA, Italy
  • Daniela Escobar, University of Vienna, Austria
  • Stein-Erik Fleten, NTNU, Trondheim, Norway
  • Carlo Fezzi, University of Trento, Italy
  • Christoph Funk, Macquarie University, Sydney, Australia
  • Takashi Kanamura, University of Kyoto, Japan
  • Rüdiger Kiesel, University of Duisburg-Essen, Germany
  • Francesco Lisi, Universita' di Padova, Italy
  • Carlo Lucheroni, University of Camerino, Italy
  • Katarzyna Maciejowska, Wrocław University of Science and Technology, Poland
  • Grzegorz Marcjasz, Wrocław University of Science and Technology, Poland
  • Johannes Mauritzen, BI Norwegian Business School, Norway
  • Stefano Menna, Europe Energy, Italy
  • Florentina Paraschiv, NTNU, Trondheim, Norway
  • Matteo Pelagatti, University of Milano-Bicocca, Italy
  • Francesco Ravazzolo, Free University of Bozen-Bolzano, Italy
  • Luca Rossini, Free University Amsterdam, The Netherlands
  • Paolo Santucci de Magistris, LUISS, Italy
  • Alessandro Sapio, University of Napoli Parthenope, Italy (*)
  • Michael Schürle, University of St. Gallen, Switzerland
  • Tomasz Serafin, Wrocław University of Science and Technology, Poland
  • Fabian Siegel, Alperia Energy and Free University of Bozen-Bolzano, Italy
  • Stefan Trück, Macquarie University, Sydney, Australia (*)
  • Bartosz Uniejewski, Wrocław University of Science and Technology, Poland
  • Tiziano Vargiolu, University of Padua, Italy
  • Arne Vogler, Universität Duisburg-Essen, Germany
  • Rafał Weron, Wrocław University of Science and Technology, Poland
  • Sjur Westgaard, NTNU, Trondheim, Norway
  • Florian Ziel, Universität Duisburg-Essen, Germany

(*) Last minute drop outs



Book of abstracts (PDF, 120 KB)

Wednesday, 12.12.2018

09:00-09:30 Welcome & registration, chair: Angelica Gianfreda and Rafał Weron

09:30-11:00 Session I: Modeling and forecasting electricity prices, chair: Michele Dalena (3x30min talks)

  • Matteo Pelagatti, Trends and long-run relations in electricity prices: why pre-filtering is inevitable (with Angelica Gianfreda and Lucia Parisio) [Slides pdf 0.8 MB]
  • Arne Vogler, On the evaluation of multivariate event probability predictions in electricity price forecasting (with Florian Ziel) [Slides pdf 0.3 MB]
  • Daniela Escobar, Identification of distortion functions in energy markets (with Florentina Paraschiv)

11.00-11.30 Break

11:30-13:00 Session II: Calibration windows for price forecasting, chair: Sjur Westgaard (3x30min talks)

  • Carlo Fezzi, Size matters: estimation sample length and electricity price forecasting accuracy (with Luca Mosetti) [Slides pdf 1.3 MB]
  • Tomasz Serafin, Selection of calibration windows for point forecasting of day-ahead electricity prices (with Grzegorz Marcjasz and Rafał Weron) [Slides pdf 3.6 MB]
  • Bartosz Uniejewski, Selection of calibration windows for probabilistic forecasting of day-ahead electricity prices (with Tomasz Serafin and Rafał Weron) [Slides pdf 2.3 MB]

13:00-14:30 Break

14:30-16:00 Session III: Supply and demand, chair: Francesco Lisi (3x30min talks)

  • Florian Ziel, Determining the demand elasticity in a wholesale electricity market (with Sergei Kulakov)
  • Tiziano Vargiolu, Efficient representation of supply and demand curves on day-ahead electricity markets (with Mariia Soloviova)
  • Paolo Santucci de Magistris, Resuscitating the co-fractional model of Granger (1986) (with Federico Carlini)

16:00-16:30 Break

16:30-18:00 Session IV: Solar power, chair: Rüdiger Kiesel (3x30min talks)

  • Takashi Kanamura, Volumetric risk hedging strategies and basis risk premium for solar power
  • Johannes Mauritzen, Are solar panels commodities? Evidence of quality differences and asymmetric information from California
  • Fabian Siegel, DESERTEC – A prospective pillar for the German electricity market? [Slides pdf 0.9 MB]

18:00-22:00 Visit to the Christmas Market and Social Dinner (by invitation only)

Thursday, 13.12.2018

09:00-11:00 Session V: Natural gas and oil, chair: Stein-Erik Fleten (4x30min talks)

  • Federico Clementi, Natural gas consumption elasticity and meteorological variables: A micro-based panel-data study (with Claudia Checchi)
  • Christoph Funk, Oil Price shocks and the cost of debt in the oil industry – empirical analysis (with Karol Kempa and Johannes Lips) [Slides pdf 0.4 MB]
  • Roberto Casarin, Network analysis of world oil linkages (with E. Ter Horst, G. Molina, R. Espinasa, R. Rigobon, C. Sucre)
  • Rüdiger Kiesel, Carbon risk in credit spreads

11:00-11:30 Break

11:30-13:00 Session VI: Hedging and trading, chair: Florentina Paraschiv (3x30min talks)

  • Stein-Erik Fleten, Dynamic hedging for the real option management of electricity storage (with Joakim Dimoski, Sveinung Nersten and Nils Löhndorf) [Slides pdf 1.4 MB]
  • Michael Schürle, The profitability of investments in power to gas (with Florentina Paraschiv)
  • Sjur Westgaard, Ten commodity trading disasters that shook the world [Slides pdf 1.6 MB]

13:00-14:30 Break

14:30-16:00 Session VII: Forecasting in the presence of RES, chair: Francesco Ravazzolo (3x30min talks)

  • Katarzyna Maciejowska, Assessing the impact of renewable energy sources on the electricity price level and variability - A Quantile Regression approach [Slides pdf 0.3 MB]
  • Luca Rossini, Further developments about the forecasting performances of linear models for electricity prices with RES (with Angelica Gianfreda and Francesco Ravazzolo)
  • Stefano Menna, From university to trading desk – Forecasting models in a real trading environment

16:00-16:30 Break

16:30-17:30 Session VIII: Machine learning for price forecasting, chair: Florian Ziel (2x30min talks)

  • Carlo Lucheroni, Machine learning approaches to DAM price series
  • Grzegorz Marcjasz, Artificial neural networks in EPF: are deep structures beneficial? (with Rafał Weron) [Slides pdf 1.9 MB]

17:30-18:00 Wrap-up & Conclusions, chair: Angelica Gianfreda and Rafał Weron



Participation is by invitation only. List of participants (PDF, 250 KB)


Getting there

By rail: One of the best ways to get to Bolzano is by train - the station is only a few minutes walking from the central Walther square! The DB/ÖBB EuroCity trains will carry you conveniently and directly to Bolzano from stations in Munich, Innsbruck, Venezia Santa Lucia, Bologna and Verona. These trains, operated in partnership by the German and Austrian railways, run along these lines very often. There is no need to switch trains at the Brennero (Brenner) Pass and advance booking of trains is not necessary. Furthermore, trilingual staff members will attend to your needs. Tickets may be booked online or bought on board. Please visit http://www.oebb.at/en/ or http://www.megliointreno.it

By bus: FlixBus has one of the largest connection networks in Europe and has recently added new Italian routes. Bolzano can be directly reached from many other cities, including some major European airports. The prices start at 3.99 EUR. Online bookings at https://www.flixbus.it/autobus/bolzano

By air: The nearest international airports are in Innsbruck and Verona. The other airports Bergamo, Treviso, Venice and Munich are over 200 km away (or four hours by rail). From the airport in Verona, you may take the AeroBus to Verona Porta Nuova train station to catch a train to Bozen. Find more information at http://www.aeroportoverona.it/en/aerobus_t2

By car: The access to the city centre of Bozen-Bolzano is under video surveillance. Please follow the indication to the parking places and do not overstep the gates in order to avoid to be sanctioned. For parking, follow the electronic indications at the main entrances of the city.

Coming from the South: Take the motorway exit "Bolzano Sud" and park your car at the Fair (1300 lots). From there you find public busses to the center every 15 minutes or the train every 30 minutes.

Coming from the North: Take the motorway exit "Bolzano Nord" and park at the parking "Bolzano Centro", which is only a few minutes walking from the center.


Hotels nearby

Please keep in mind that Christmas period is high season so we recommend booking your room well in advance. For suggestions, visit http://www.bolzano-bozen.it/en/accommodation-bolzano.htm or http://www.booking.com