EFC19 Photo: Erik Ryan

Energy Finance Christmas Workshop (EFC19)

12-13.12.2019, Dublin, Ireland

EFC19 is the 9th event in the highly successful series of Energy Finance Christmas workshops. It is set in the Grand Canal Dock area of Dublin, an enclosed harbor area between the River Liffey and the Grand Canal. Since 2000 the area has undergone significant renovation as part of the Dublin Docklands area redevelopment project, resulting in the most innovative and modern area in Dublin.

The workshop is organized by Marianna Russo, with the help of Liz Coyle (ESRI), and held by the Economic and Social Research Institute (ESRI). Established in 1960, ESRI in an independent institution supporting policy and decision-making in the areas of welfare, health, consumer and environmental regulation, energy, water, ICT/telecom, labor, immigration, education. EFC19 is co-funded by the Energy Systems Integration Partnership Programme, a research collaboration between DCU, ESRI, NUIG, TCD and UCD supported (in part) by Science Foundation Ireland.


Economic and Social Research Institute (ESRI)
Whitaker Square Sir John Rogerson’s Quay Dublin 2

Invited speakers

  • Derek W. Bunn, London Business School, United Kingdom
  • Julie Byrne, Smurfit Graduate Business, University College Dublin, Ireland
  • Michael Coulon, University of Sussex, United Kingdom
  • Peter Deeney, DCU Business School, Ireland
  • Stein-Erik Fleten, NTNU, Trondheim, Norway
  • Hayette Gatfaoui, IESEG School of Management, France
  • Silvia Golia, University of Brescia, Italy
  • Tim Janke, TU Darmstadt, Germany
  • Takashi Kanamura, University of Kyoto, Japan
  • Rüdiger Kiesel, University of Duisburg-Essen, Germany
  • Carlo Lucheroni, University of Camerino, Italy
  • Katarzyna Maciejowska, Wrocław University of Science and Technology, Poland
  • Matteo Manera, University of Milano-Bicocca, Italy
  • Carolina Garcia Martos, Technical University of Madrid, Spain
  • Chiara di Modica, Technical University of Denmark, Lyngby, Denmark
  • Michał Narajewski, University of Duisburg-Essen, Germany
  • Weronika Nitka, Wrocław University of Science and Technology, Poland
  • Andrea Roncoroni, ESSEC Business School, Cergy, France
  • Alessandro Sapio, University of Naples Parthenope, Italy
  • Derek Scully, Energia, Ireland
  • Benedikt Sommer, Maersk and Technical University of Denmark, Lyngby, Denmark
  • Stefan Trück, Macquarie University, Sydney, Australia
  • Tiziano Vargiolu, University of Padua, Italy
  • Tomasz Weron, Wrocław University of Science and Technology, Poland
  • Florian Ziel, University of Duisburg-Essen, Germany



new Book of abstracts (PDF, 500 KB, ver. 9.12.2019)

Thursday, 12.12.2019

08:15-08:45 Registration

08:45-09:00 Welcome

  • Alan Barrett (Director of ESRI), Andrew Keane (Director of the Energy Institute at UCD) and Rafał Weron (EFC Series General Chair)

09:00-10:30 Session 1: Energy Prices and Clean Energy Indices, chair: Katarzyna Maciejowska (3x30min talks)

  • Matteo Manera, Robust tests of normality for gasoline prices (with A. Bastianin) [Slides pdf 0.9 MB]
  • Hayette Gatfaoui, A dynamic study of the U.S. natural gas market integration [Slides pdf 3.9 MB]
  • Takashi Kanamura, A model of price correlations between clean energy indices and energy commodities [Slides pdf 1.0 MB]

10.30-11.00 Coffee Break

11:00-12:30 Session 2: Optimal Energy Trading and Risk Management, chair: Stefan Trück (3x30min talks)

  • Rüdiger Kiesel, Optimal market making on intraday power markets [Slides pdf 1.3 MB]
  • Weronika Nitka, Balancing RES generation: Profitability of an energy trader (with C. Kath, T. Serafin, R. Weron, T. Weron, P. Zaleski) [Slides pdf 1.3 MB]
  • Michael Coulon, Wind park valuation and risk management in the German intraday power markets

12:30-14:00 Lunch

14:00-15:30 Session 3: Econometrics of Electricity Prices, chair: Andrea Roncoroni (3x30min talks)

  • Florian Ziel, Estimation and simulation of the transaction arrival process in intraday electricity markets [Slides pdf 0.7 MB]
  • Katarzyna Maciejowska, Structural VAR analysis of price forecast errors - decision support in day-ahead and intraday electricity markets [Slides pdf 0.6 MB]
  • Alessandro Sapio, Greener, more integrated, and less volatile? A quantile regression analysis of Italian wholesale electricity prices [Slides pdf 2.9 MB]

15:30-16:00 Coffee Break

16:00-17:30 Session 4: Risk Evaluation, chair: Rüdiger Kiesel (3x30min talks)

  • Derek Scully, Through the looking glass: Ireland's Climate Action Plan and the energy transition [Slides pdf 0.7 MB]
  • Andrea Roncoroni, A new integrated risk-management policy for the newsvendor position
  • Stefan Trück, Power Purchase Agreements and solar securitization: Modelling risk factors and returns [Slides pdf 1.3 MB]
Friday, 13.12.2019

08:30-10:30 Session 5: Optimal Investment Decisions, chair: Michael Coulon (4x30min talks)

  • Julie Byrne, No real option for solar in Ireland: a real option valuation of utility scale solar investment in Ireland (with M. Assereto) [Slides pdf 1.7 MB]
  • Stein-Erik Fleten, Sequential investment: Empirical evidence of real options effects (with K. Ingebrigtsen, J. A. Kaldahl, T. Olsen, C. J. Ullrich) [Slides pdf 1.0 MB]
  • Peter Deeney, A real options based decision support tool for R&D investment: Application to CO2 recycling technology (with M. Cummins, K. Heintz, M. Pryce) [Slides pdf 1.1 MB]
  • Tiziano Vargiolu, Optimal installation of solar panels with price impact: A solvable singular stochastic control problem [Slides pdf 0.5 MB]

10:30-11:00 Coffee break

11:00-12:30 Session 6: Intraday and Balancing Markets, chair: Florian Ziel (3x30min talks)

  • Derek W. Bunn, Forecasting the British balancing market prices
  • Tomasz Weron, Enhancing load, wind and solar generation forecasts in day-ahead forecasting of spot and intraday electricity prices (with K. Maciejowska, W. Nitka) [Slides pdf 1.8 MB]
  • Michał Narajewski, Ensemble forecasting for intraday electricity prices: simulating trajectories [Slides pdf 8.7 MB]

12:30-14:00 Lunch

14:00-15:30 Session 7: Advances in Energy Forecasting, chair: Derek W. Bunn (3x30min talks)

  • Carolina Garcia Martos, Estimation of 1-in-20 year national gas peak daily demand in some European countries [Slides pdf 2.3 MB]
  • Tim Janke, From point forecasts to statistical scenarios using implicit generative ensemble post-processing [Slides pdf 1.1 MB]
  • Chiara di Modica, Online forecast reconciliation in wind power prediction [Slides pdf 0.7 MB]

15:30-16:00 Coffee Break

16:00-17:30 Session 8: Statistical and Machine Learning, chair: Rafał Weron (3x30min talks)

  • Benedikt Sommer, Online distributed learning in wind power forecasting [Slides pdf 6.2 MB]
  • Silvia Golia, Machine learning models for the prediction of Italian electricity prices. Do they really outperform the benchmark? (with L. Grossi and M. Pelagatti) [Slides pdf 0.4 MB]
  • Carlo Lucheroni, ETS models and recurrent neural networks



Participation is by invitation only.


Getting there

By air
The nearest international airport is Dublin Airport. From the airport take a bus/coach for Dublin area (Aircoach, Airlink Express, Dublin Bus; the closest stops to ESRI are North Wall Quay and Convention Centre Dublin) or a taxi. ESRI is 13 km away from the airport, i.e., around 20 minutes with normal traffic conditions.

Public Transport and Parking
DART, Dublin Bus, Luas, DublinBikes: The nearest Dart is Pearse Station in Westland Row and the nearest Luas (red line) is Mayor Square. The 15A and 15B buses run along Sir John Rogerson’s Quay and there are a number of buses that run along Pearse Street. The nearest stations for Dublin Bikes are at Lime Street (Station 62) and City Quay (Station 99).
Parking: There is on‐street disk parking in Cardiff Lane, Hanover Street East and Erne Street. There is a public car park at Gallery Quay which is clearly signposted. Other car parks are at Jury’s Custom House, the NCI, Dawson Street and Setanta place (off Nassau Street). More information are available here.
Disability Access: Wheelchair ramps are located at the entrances from Sir John Rogerson’s Quay (beside the large white Three Mobile building) and from Cardiff Lane beside the Clayton Hotel. The Hanover Street East entrance has street-level access.


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.booking.com