Forecasting for Renewable Energy Production Cet événement est passé. 2 février @ 9 H 00 min - 17 H 15 min 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 REGISTRATION FORM Lieu EDF Labs, Paris-Saclay 7 Boulevard Gaspard Monge,, Palaiseau, 91120 France
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
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.
