The large-scale development of renewable energy production prompts us to rethink the structure of the modelling of pricing processes and how we conceive financial risks in the energy markets. Because this development accentuates the impact on market prices of global warming, better consideration of this link should enable portfolio managers exposed to the energy markets to more clearly understand the risks and to determine optimal strategies for hedging them. In this context, the current challenges concern: (1) the definition of models suited to risk assessment, measurement and hedging applications; (2) development of forecasting tools, both of climate variables and market prices; and (3) effective statistical estimation procedures.

This thematic semester, titled “Statistics for the energy markets”, aims to present the recent thinking and developments on this topic, and to identify areas for research and collaboration between practitioners in the industry and academic researchers. It is supported by the “Finance and sustainable growth” Labex of the Institut Louis Bachelier.


Provisional program


09:00 – 9:20: Welcoming of the participants

09:20 – 10:20: Georges Kariniotakis (Mines Paris Tech), tba

10:20 – 11:05: Dominique Picard (Université Pierre et Marie Curie), High dimensional statistical learning methods applied to energy data sets

11:05 – 11:20: Coffee break

11:20 – 12: 05: Yannig Goude (EDF Lab), Probabilistic forecasting for Energy Market

12:05 – 12: 50: Brenda López Cabrera (Humboldt Universität, Berlin), tba

12:50 – 14:00: Lunch

14:00 – 14:45: Bastien Alonzo (LMD, Ecole Polytechnique), Probabilistic forecasting of the wind energy resource at the monthly to seasonal scale

14:45 – 15:30: Jan K. Moller (DTU), Probabilistic Wind Power Forecast – Uncertainty Evaluation using Stochastic Differential Equations

15:30 – 15:45: Coffee Break

15:45 – 16:30: Florian Ziel (Universität Duisburg-Essen), Modeling of the non-linear impact of renewable energy forecasts on intra-day electricity prices

16:30 – 17:15: Pierre Gaillard (INRIA), tba

17:15: End of the workshop






EDF Labs, Paris-Saclay 7 Boulevard Gaspard Monge,, Palaiseau, 91120 France