EFC15 Photo: Wiki

Energy Finance Christmas Workshop (EFC15)

17-18.12.2015, Paris, France

EFC15 was the 5th event in the highly successful series of Energy Finance Christmas workshops. Set in the heart of the 5th arrondissement of Paris, at the Henri Poincaré Institute (IHP), which has welcomed some of most prominent scientists, and witnessed the first modern seminars in mathematics, the creation of an institute of statistics and the birth of population biology.

Venue

Institut Henri Poincaré
11 rue Pierre et Marie Curie, 75005 Paris

Invited speakers

  • Daniel Ambach, Europa-Universität Viadrina Frankfurt (Oder), Germany
  • Michael Coulon, University of Sussex, UK
  • Virginie Dordonnat, Réseau de Transport d' Electricité (RTE), France
  • Yannig Goude, EDF Research & Development, France
  • Pierre Gruet, EDF Research & Development, France
  • Martin Hain, Karlruhe Institute of Technology, Germany
  • Rüdiger Kiesel, University of Duisburg-Essen, Germany
  • Maciej Kostrzewski, Cracow University of Economics, Poland
  • Marjan Nazifi, Macquarie University, Sydney, Australia
  • Jakub Nowotarski, Wrocław University of Technology, Poland
  • Florentina Paraschiv, University of St.Gallen, Switzerland
  • Sandro Sapio, University of Naples "Parthenope", Italy
  • Peter Tankov, Paris Diderot University, France
  • Rafał Weron, Wrocław University of Technology, Poland
  • Florian Ziel, Europa-Universität Viadrina Frankfurt (Oder), Germany

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Program

(all sessions chaired by Clemence Alasseur and Olivier Féron)

Thursday, 17.12.2015

10:00-10:30 Welcome

10:30-12:30 Session 1 (3x40min talks)

  • Ruediger Kiesel, An empirical analysis of intraday trading of electricity (with Florentina Paraschiv) [Slides pdf 1.6 MB]
  • Pierre Gruet, An optimal trading problem in intraday electricity markets (with René Aïd and Huyên Pham) [Slides pdf 2.1 MB]
  • Alessandro Sapio, Three markets and the deepest link: What the new Sardinian cable implies for dynamic correlations among zonal electricity prices in Italy

12:30-14:00 Lunch

14:00-16:00 Session 2 (3x40min talks)

  • Michael Coulon, Renewable energy certificates: market design, investment decisions and price dynamics (with Javad Khazaei and Warren B. Powell) [Slides pdf 1.3 MB]
  • Marjan Nazifi, Non-linear pass through rates of the carbon tax on to Australian electricity prices
  • Maciej Kostrzewski, Bernoulli jump-diffusion and discrete SV with jumps models in Bayesian analysis of returns on gas forwards and CO2 allowance futures [Slides pdf 0.3 MB]

16:00-16:30 Coffee break

16:30-17:10 Session 3 (1x40min talk)

  • Florentina Paraschiv, A fully parametric approach for quantile regressions with time-varying coefficients. An application to electricity prices (with Derek Bunn and Sjur Westgaard) [Slides pdf 1.1 MB]

19:00-22:00 Dinner

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Friday, 18.12.2015

09:20-10:00 Session 4 (1x40min talk)

  • Daniel Ambach, Evaluating different periodic seasonal time series models for efficient short-term wind speed prediction (with Wolfgang Schmid) [Slides pdf 2.9 MB]

10:00-10:30 Coffee break

10:30-12:30 Session 5 (3x40min talks)

  • Rafał Weron, Advances in probabilistic forecasting of electricity loads and prices [Slides pdf 4.2 MB]
  • Jakub Nowotarski, The impact of long-term seasonality on day-ahead electricity price forecasts (with Rafał Weron) [Slides pdf 1.2 MB]
  • Yannig Goude, Semi-parametric models and robust aggregation for probabilistic electricity price forecasting (with Pierre Gaillard and Raphaël Nédellec) [Slides pdf 1.6 MB]

12:30-13:40 Lunch

13:40-15:20 Session 6 (2x40min talks)

  • Martin Hain, Power price dynamics and renewables: The role of spatial diversification
  • Florian Ziel, Electricity price modelling using supply-demand curves (with Rick Steinert) [Slides pdf 6.4 MB]

15:00-15:30 Coffee break

15:30-16:50 Session 7 (2x40min talks)

  • Peter Tankov, Optimal trading for a wind power producer
  • Virginie Dordonnat, Simulating multiple weather-based variables for mid/long-term physical risk management [Zipped slides zip 2.9 MB]

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Getting there

Map and directions at the IHP website

  • RER Line B: station Luxembourg
  • Metro Line 10: station Cardinal Lemoine
  • Bus stops
    • Lines 21, 27: rue Gay-Lussac
    • Line 38: Luxembourg
    • Line 89: rue Soufflot
  • Calculate your route with the RATP

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