PROGRAM
Days: Thursday, June 17th Friday, June 18th
Thursday, June 17th
View this program: with abstractssession overviewtalk overview
13:00-14:30 Session 2A: Financialization of Commodity Markets
Chair:
Location: Room 1
13:00 | Do financially constrained firms engage in opportunistic and risky behavior? Evidence from the oil and gas production sector. (abstract) PRESENTER: Veronika Selezneva 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) PRESENTER: Alessandro Melone Discussant: Veronika Selezneva |
13:00-14:30 Session 2B: Power Generation 1
Chair:
Location: Room 2
13:00 | The Reliability Pricing Mechanism and Coal-Fired Generators in PJM (abstract) PRESENTER: Stein-Erik Fleten 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 2C: Commodity Pricing 1
Chair:
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 2D: Agricultural Commodities 1
Chair:
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 3A: Market Efficiency
Chair:
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 3B: Commodity Investment 1
Chair:
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 3C: Renewable Energies 1
Chair:
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 3D: Risk Analysis and Hedging 1
Chair:
Location: Room 4
15:00 | A New Integrated Risk-Management Policy for the Newsvendor Position (abstract) PRESENTER: Andrea Roncoroni Discussant: Jim Sanchez Gonzalez |
15:30 | Robust static hedging of price and volumetric risk (abstract) PRESENTER: Jim Sanchez Gonzalez 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 4A: Cryptocurrencies and Gold
Chair:
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 4B: Derivatives and Risk-Neutral Dynamics
Chair:
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 4C: Forecasting
Chair:
Location: Room 3
16:30 | Oil price analysts' forecasts (abstract) PRESENTER: Isabel Figuerola-Ferretti 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) PRESENTER: Bartosz Uniejewski Discussant: Isabel Figuerola-Ferretti |
16:30-18:00 Session 4D: Risk Analysis and Hedging II
Chair:
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 5: Keynote Speech: Lutz Kilian
Chair:
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 6A: Climate Change
Chair:
Location: Room 1
11:00 | Climate Change Transition Risk on Sovereign Bond Yield Spreads (abstract) PRESENTER: Christina Sklibosios Nikitopoulos Discussant: Manuel Moreno Fuentes |
11:30 | How the public attention to climate change aects crude oil shocks: A wavelet analysis. (abstract) PRESENTER: Federico Platania Discussant: Fulvio Fontini |
12:00 | The Participation of Small-scale Variable Distributed Renewable Energy Sources to the Balancing Services Market (abstract) PRESENTER: Fulvio Fontini Discussant: Christina Sklibosios Nikitopoulos |
11:00-12:30 Session 6B: Commodity Investment 2
Chair:
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 6C: Storage and Networks
Chair:
Location: Room 3
11:00 | Solving Dynamic Models with Constraints on Accumulation (abstract) PRESENTER: Eugenio Bobenrieth Discussant: Chardin Wese |
11:30 | The Dynamics of Storage Costs (abstract) PRESENTER: Lazaros Symeonidis 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 6D: Intraday Electricity Markets
Chair:
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 Discussant: Nikolaus Graf von Luckner |
12:00 | Hawkes process and market maker pricing on the German intraday electricity market (abstract) PRESENTER: Nikolaus Graf von Luckner Discussant: Tomasz Serafin |
13:00-14:30 Session 7A: Renewable Energies 2
Chair:
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 Discussant: Sebastian Jaimungal |
14:00 | A Mean-Field Approach to Equilibrium Pricing, Optimal Generation, and Trading in Renewable Energy Certificate Markets (abstract) PRESENTER: Sebastian Jaimungal Discussant: Muthe Mwampashi |
13:00-14:30 Session 7B: Power Generations and Markets
Chair:
Location: Room 2
13:00 | Investing in flexible combined heat and power generation (abstract) PRESENTER: Dimitrios Zormpas Discussant: Grzegorz Marcjasz |
13:30 | Artificial Neural Networks in EPF: Are deep structures beneficial? (abstract) PRESENTER: Grzegorz Marcjasz Discussant: Jerome Detemple |
14:00 | Optimal Technology Adoption for Power Generation (abstract) PRESENTER: Jerome Detemple Discussant: Dimitrios Zormpas |
13:00-14:30 Session 7C: Commodity Pricing 2
Chair:
Location: Room 3
13:00 | Asset Classes and Portfolio Diversification: Evidence from Stochastic Spanning Approach (abstract) PRESENTER: Thomas Walther Discussant: Alexandre Ribeiro Scarcioffolo |
13:30 | Regime Switching in the Energy Market Volatility: The Role of Economic Policy Uncertainty (abstract) PRESENTER: Alexandre Scarcioffolo Discussant: Casey Petroff |
14:00 | Export Bans and Commodity Price Volatility Expectations (abstract) PRESENTER: Casey Petroff Discussant: Thomas Walther |
13:00-14:30 Session 7D: Optimization
Chair:
Location: Room 4
13:00 | Meeting Corporate Renewable Power Targets (abstract) PRESENTER: Selvaprabu Nadarajah 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 Discussant: Selvaprabu Nadarajah |
15:00-16:30 Session 8A: Agricultural Commodities 2
Chair:
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 8B: Commodity Risk Premium
Chairs:
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 8C: Electricity Markets
Chair:
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 Ortega Discussant: Shanshan Yuan |
15:00-16:30 Session 8D: Market structure
Chair:
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) PRESENTER: Yerkin Kitapbayev Discussant: Dávid Csercsik |
16:00 | Convex Combinatorial Auction of Pipeline Network Capacities (abstract) Discussant: Robert Ready |
18:00-19:30 Session 10: Keynote Speech: Mike Ludkovski
Chair:
Location: Room 5
18:00 | Stochastic Control for Microgrid Management (abstract) |