WORKSHOP ON WORKSHOP ON INTRADAY ELECTRICITY MARKETS INTRADAY ELECTRICITY MARKETS 1-2 APRIL 2019 1-2 APRIL 2019 ISAAC NEWTON INSTITUTE CAMBRIDGE, UK ISAAC NEWTON INSTITUTE FOR MATHEMATICAL SCIENCES CAMBRIDGE, UK ADDRESS: 20 CLARKSON ROAD CAMBRIDGE CB3 0EH Topics: - Market microstructure of intraday electricity markets - Trading and bidding on intraday electricity markets - Modelling and Forecasting of intraday electricity markets - Optimization methods with applications in electricity markets - Related topics on intraday markets
The workshop will be part of the programme The mathematics of energy systems (https://www.newton.ac.uk/event/mes, 3 January – 3 May 2019) and will be part of the research track Pricing and optimization of intraday/day-ahead electricity and futures contracts (1-12 April 2019) - organised by Florentina Paraschiv (NTNU).
Presentation schedules on the next pages.
All presentations will be in the seminar room 2, INI (Falkes Gate House) with 40 min each presentation including time for discussion.
For arrivals, please check: https://www.newton.ac.uk/contact/find-us
Organisation Prof. Dr. Florian Ziel House of Energy Markets and Finance University of Duisburg Essen Telefon +49 201 183-7608 E-mail [email protected] Office Raum WST-C.11.18 Berliner Platz 6-8 45141 Essen Germany
www.hemf.net www.uee.wiwi.uni-due.de 2
1 April: 9:20-9:30 Opening
9:30-10:10 Anke Kramer Point Process Models for Order Arrivals on the German Intraday Electricity Market University of Duisburg-Essen
10:10-10:50 Clara Balardy The price impact of trades. The case of the French spot power market. EPEX SPOT SE
10-50-11:10 Coffee break
11:10-11:50 Nikolaus Hawkes processes for market order arrivals on v. Luckner the intraday power market and their application in optimal market maker pricing University of Duisburg Essen
11:50-12:30 Niyaz Valitov Asymmetric information in the German intraday electricity market University of Wuppertal
12:30-13:30 Lunch (Churchill college or CMS math science cafe)
13:30-14:10 Peru Muniain Modeling and forecasting realized volatility in German–Austrian continuous intraday electricity University of the prices Basque Country
14:10-14:50 Christopher Kath On the Importance of Cross-border Market Integration under XBID: Evidence from the RWE Supply & German Intraday Market Trading
14:50-15:10 Coffee break
15:10-15:50 Bartosz Uniejewski Understanding intraday electricity markets: Variable selection and very short-term price Wrocław forecasting using lasso University of Technology
15:50-16:30 Michał Narajewski Econometric modeling and forecasting of intraday electricity prices University of Duisburg-Essen
Evening Dinner 3
2 April: 9:20-9:30 Opening
9:30-10:10 Wieger Hinderks Pricing German Energiewende products: intraday cap/floor futures Fraunhofer Institute for Industrial Mathematics ITWM
10:10-10:50 Katarzyna Probabilistic forecast of intraday prices - Maciejowska bootstrap, jackknife or conformal predictions? Wrocław University of Technology
10-50-11:10 Coffee break
11:10-11:50 Stein-Erik Fleten Day-ahead and intraday bidding coordination in the Nordic market Norwegian University of Science and Technology
11:50-12:30 Finnah, Benedikt Approximate dynamic programming for energy storages in the continuous intraday University of market Duisburg-Essen
12:30-13:30 Lunch (Churchill college or CMS math science cafe)
13:30-14:10 Angelica Gianfreda A Stochastic Latent Moment Model for Electricity Price Formation University of Bolzano
14:10-14:50 Sergei Kulakov Determining the Demand Elasticity in a Wholesale Electricity Market University of Duisburg-Essen
14:50-15:10 Coffee break
15:10-15:50 Grzegorz Marcjasz Artificial neural networks in EPF: are deep structures beneficial? Wrocław University of Technology
15:50-16:30 Carlo Lucheroni Feedforward Networks, Recurrent Networks and Autoregressions University of Camerino