CEMA2020: COMMODITY AND ENERGY MARKETS CONFERENCE 2020
PROGRAM

Days: Thursday, June 17th Friday, June 18th

Thursday, June 17th

View this program: with abstractssession overviewtalk overview

13:00-14:30 Session 1A: Financialization of Commodity Markets
Location: Room 1
13:00
Do financially constrained firms engage in opportunistic and risky behavior? Evidence from the oil and gas production sector. (abstract)
Discussant: Gabriel Power
13:30
Has financialization changed the impact of macro announcements on commodity markets? (abstract)
PRESENTER: Gabriel Power
Discussant: Alessandro Melone
14:00
Stock-Oil Comovement: Fundamentals or Financialization? (abstract)
Discussant: Veronika Selezneva
13:00-14:30 Session 1B: Power Generation 1
Location: Room 2
13:00
The Effect of Capacity Payments on Peaking Generator Operation (abstract)
Discussant: Paolo Falbo
13:30
Joint optimization of sales-mix and generation plan for a large electricity producer (abstract)
PRESENTER: Paolo Falbo
Discussant: Alexander Kronies
14:00
The bigger, the better? (abstract)
Discussant: Stein-Erik Fleten
13:00-14:30 Session 1C: Commodity Pricing 1
Location: Room 3
13:00
A Model of Price Correlations between Clean Energy Indices and Energy Commodities (abstract)
Discussant: Valerio Potì
13:30
Commodity Pricing: Evidence from Rational and Behavioral Models (abstract)
PRESENTER: Valerio Potì
Discussant: Alain Kabundi
14:00
Commodity Price Shocks: Order within Chaos? (abstract)
PRESENTER: Alain Kabundi
Discussant: Takashi Kanamura
13:00-14:30 Session 1D: Agricultural Commodities 1
Location: Room 4
13:00
The Euronext Wheat Market: Participants and their Importance (abstract)
PRESENTER: Alexis Poullain
Discussant: An Cao
13:30
Market Sentiment around USDA Announcements (abstract)
PRESENTER: An Cao
Discussant: Michael Adjemian
13:50
What Drives Volatility in Agricultural Futures Markets (abstract)
PRESENTER: Michael Adjemian
Discussant: Alexis Poullain
15:00-16:30 Session 2A: Market Efficiency
Location: Room 1
15:00
Market Inefficiencies Surrounding Energy Announcements (abstract)
PRESENTER: Sultan Alturki
Discussant: Amine Loutia
15:30
OPEC production announcements: Effects on stock prices (abstract)
PRESENTER: Amine Loutia
Discussant: Robert Ready
16:00
The Day that WTI Died: Asset Prices and Firm Production Decisions (abstract)
PRESENTER: Erik Gilje
Discussant: Sultan Alturki
15:00-16:30 Session 2B: Commodity Investment 1
Location: Room 2
15:00
The valuation effects of index investment in commodity futures (abstract)
PRESENTER: Loïc Maréchal
Discussant: Fabio Moneta
15:30
The Challenges of Oil Investing: Contango and Crowding (abstract)
PRESENTER: Fabio Moneta
Discussant: Andrew Vivian
16:00
Roll Reversal in Commodity Futures (abstract)
PRESENTER: Andrew Vivian
Discussant: Loïc Maréchal
15:00-16:30 Session 2C: Renewable Energies 1
Location: Room 3
15:00
Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration (abstract)
PRESENTER: Maxim Bichuch
Discussant: Almendra Awerkin
15:30
Optimal installation of renewable electricity sources: the case of Italy (abstract)
PRESENTER: Almendra Awerkin
Discussant: Giorgio Rizzini
16:00
ETS, Emissions and the Energy-Mix Problem (abstract)
PRESENTER: Giorgio Rizzini
Discussant: Maxim Bichuch
15:00-16:30 Session 2D: Risk Analysis and Hedging 1
Location: Room 4
15:00
A New Integrated Risk-Management Policy for the Newsvendor Position (abstract)
PRESENTER: Andrea Roncoroni
15:30
Robust static hedging of price and volumetric risk (abstract)
Discussant: Nicola Secomandi
16:00
Quadratic Hedging of Futures Term Structure Risk in Merchant Energy Trading Operations (abstract)
PRESENTER: Nicola Secomandi
Discussant: Andrea Roncoroni
16:30-18:00 Session 3A: Cryptocurrencies and Gold
Location: Room 1
16:30
Success of Initial Coin Offerings (abstract)
PRESENTER: Michael Dakos
Discussant: Manuela Pedio
17:00
Time-Varying Risk Exposures of Cryptocurrencies: Are They a New Asset Class? (abstract)
PRESENTER: Manuela Pedio
Discussant: Dirk Baur
17:30
Green Gold - A Gold Mining Perspective (abstract)
PRESENTER: Dirk Baur
Discussant: Michael Dakos
16:30-18:00 Session 3B: Derivatives and Risk-Neutral Dynamics
Location: Room 2
16:30
Estimation of the risk neutral freight rate dynamics: A nonparametric approach (abstract)
PRESENTER: Nikos Nomikos
Discussant: Annika Kemper
17:00
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets (abstract)
PRESENTER: Annika Kemper
Discussant: Carme Frau
17:30
Jumps in Commodity Prices: New Approaches for Pricing Options (abstract)
PRESENTER: Carme Frau
Discussant: Nikos Nomikos
16:30-18:00 Session 3C: Forecasting
Location: Room 3
16:30
Oil price analysts' forecasts (abstract)
Discussant: Massimo Guidolin
17:00
Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or Hidden Markov Models (abstract)
PRESENTER: Massimo Guidolin
Discussant: Bartosz Uniejewski
17:30
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting (abstract)
16:30-18:00 Session 3D: Risk Analysis and Hedging II
Location: Room 4
16:30
Convenience Yield Risk (abstract)
PRESENTER: Robert Wichmann
Discussant: Giacomo Morelli
17:00
Responsible Investments Reduce Market Risks (abstract)
PRESENTER: Giacomo Morelli
Discussant: Liuren Wu
17:30
Dynamic Optimality of Airline Fuel Cost Hedging (abstract)
PRESENTER: Liuren Wu
Discussant: Marcel Prokopczuk
18:30-20:00 Session 4: Keynote Speech: Lutz Kilian
Location: Room 5
18:30
Oil Prices, Gasoline Prices and Inflation Expectations (abstract)
PRESENTER: Lutz Kilian
Friday, June 18th

View this program: with abstractssession overviewtalk overview

11:00-12:30 Session 5A: Climate Change
Location: Room 1
11:00
Climate Change Transition Risk on Sovereign Bond Yield Spreads (abstract)
11:30
How the public attention to climate change aects crude oil shocks: A wavelet analysis. (abstract)
Discussant: Fulvio Fontini
12:00
The Participation of Small-scale Variable Distributed Renewable Energy Sources to the Balancing Services Market (abstract)
PRESENTER: Fulvio Fontini
11:00-12:30 Session 5B: Commodity Investment 2
Location: Room 2
11:00
Esg score prediction through random forest algorithm (abstract)
PRESENTER: Valeria Damato
Discussant: Delphine Lautier
11:30
Exchange-Traded Funds and their impact on commodity markets (abstract)
PRESENTER: Delphine Lautier
Discussant: Kateryna Tkach
12:00
Interaction and herding behavior among the market agents: Evidence from grains futures (abstract)
PRESENTER: Kateryna Tkach
Discussant: Valeria Damato
11:00-12:30 Session 5C: Storage and Networks
Location: Room 3
11:00
Solving Dynamic Models with Constraints on Accumulation (abstract)
Discussant: Chardin Wese
11:30
The Dynamics of Storage Costs (abstract)
Discussant: László Kóczy
12:00
Network Disruptions and the Security of Supply in the European Gas Network (abstract)
PRESENTER: László Kóczy
Discussant: Eugenio Bobenrieth
11:00-12:30 Session 5D: Intraday Electricity Markets
Location: Room 4
11:00
PCA forecast averaging – predicting day-ahead and intraday electricity prices (abstract)
PRESENTER: Tomasz Serafin
Discussant: Marcel Kremer
11:30
An Econometric Model for Intraday Electricity Trading (abstract)
PRESENTER: Marcel Kremer
12:00
Hawkes process and market maker pricing on the German intraday electricity market (abstract)
Discussant: Tomasz Serafin
13:00-14:30 Session 6A: Renewable Energies 2
Location: Room 1
13:00
Wind generation and the dynamics of electricity prices in Australia (abstract)
PRESENTER: Muthe Mwampashi
Discussant: Tiziano Vargiolu
13:30
Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem (abstract)
PRESENTER: Tiziano Vargiolu
14:00
A Mean-Field Approach to Equilibrium Pricing, Optimal Generation, and Trading in Solar Renewable Energy Certificate (SREC) Markets (abstract)
Discussant: Muthe Mwampashi
13:00-14:30 Session 6B: Power Generations and Markets
Location: Room 2
13:00
Investing in flexible combined heat and power generation (abstract)
Discussant: Grzegorz Marcjasz
13:30
Artificial Neural Networks in EPF: Are deep structures beneficial? (abstract)
Discussant: Jerome Detemple
14:00
Optimal Technology Adoption for Power Generation (abstract)
PRESENTER: Jerome Detemple
Discussant: Dimitrios Zormpas
13:00-14:30 Session 6C: Commodity Pricing 2
Location: Room 3
13:00
Regime Switching in the Energy Market Volatility: The Role of Economic Policy Uncertainty (abstract)
Discussant: Casey Petroff
13:30
Export Bans and Commodity Price Volatility Expectations (abstract)
PRESENTER: Casey Petroff
Discussant: Thomas Walther
13:50
Asset Classes and Portfolio Diversification: Evidence from Stochastic Spanning Approach (abstract)
PRESENTER: Thomas Walther
13:00-14:30 Session 6D: Optimization
Location: Room 4
13:00
Meeting Corporate Renewable Power Targets (abstract)
Discussant: Bo Yang
13:30
Pathwise optimization for merchant energy production (abstract)
PRESENTER: Bo Yang
Discussant: David Wozabal
14:00
The Value of Coordination in Multi-market Bidding of Grid Energy Storage (abstract)
PRESENTER: David Wozabal
15:00-16:30 Session 7A: Agricultural Commodities 2
Location: Room 1
15:00
Innovation and Demand Risk in Grain Markets: The Impact of Plant-Based Meat (abstract)
PRESENTER: Nicolas Merener
Discussant: John Roberts
15:30
20 Years of Daily Position Data in U.S. Grains and Oilseeds Futures Markets (abstract)
PRESENTER: John Roberts
Discussant: Delphine Lautier
16:00
Crop Insurance, Futures Prices, and Commercial Trader Positions in Grains and Oilseed Markets (abstract)
PRESENTER: Michel Robe
Discussant: Nicolas Merener
15:00-16:30 Session 7B: Commodity Risk Premium
Location: Room 2
15:00
Scarcity risk premium (abstract)
Discussant: Bingxin Li
15:30
The Relative Pricing of WTI and Brent Crude Oil Futures Term Structure: Expectations or Risk Premia? (abstract)
PRESENTER: Bingxin Li
Discussant: Joelle Miffre
16:00
The Commodity Risk Premium and Neural Networks (abstract)
PRESENTER: Joelle Miffre
Discussant: Thibault Lair
15:00-16:30 Session 7C: Electricity Markets
Location: Room 3
15:00
Ex-ante Day-Ahead Premium and Optimal Hedging in Electricity Markets with Renewable and Conventional Producers (abstract)
PRESENTER: Shanshan Yuan
Discussant: Sylwia Bialek
15:30
Efficiency in Wholesale Electricity Markets: On the Role of Externalities and Subsidies (abstract)
PRESENTER: Sylwia Bialek
Discussant: Álvaro Escribano
16:00
Merit-order effect on the Spanish day-ahead power market: An empirical assesment based on structural models (abstract)
PRESENTER: Álvaro Vega
Discussant: Shanshan Yuan
15:00-16:30 Session 7D: Market structure
Location: Room 4
15:00
Order Flows and Financial Investor Impacts in Commodity Futures Markets (abstract)
PRESENTER: Robert Ready
Discussant: Yerkin Kitapbayev
15:30
Optimal Power Investment and Pandemics: A Micro-economic Analysis (abstract)
Discussant: Dávid Csercsik
16:00
Convex Combinatorial Auction of Pipeline Network Capacities (abstract)
Discussant: Robert Ready
18:00-19:30 Session 9: Keynote Speech: Mike Ludkovski
Location: Room 5
18:00
Stochastic Control for Microgrid Management (abstract)