CEMA2020: COMMODITY AND ENERGY MARKETS CONFERENCE 2020

A
Adjemian, Michael	What Drives Volatility in Agricultural Futures Markets Export Bans and Commodity Price Volatility Expectations Crop Insurance, Futures Prices, and Commercial Trader Positions in Grains and Oilseed Markets
Agostini, Marco	The Participation of Small-scale Variable Distributed Renewable Energy Sources to the Balancing Services Market
Alexander, Carol	Success of Initial Coin Offerings
Alturki, Sultan	Market Inefficiencies Surrounding Energy Announcements
Awerkin, Almendra	Optimal installation of renewable electricity sources: the case of Italy
B
Baffes, John	Commodity Price Shocks: Order within Chaos?
Balci, Anna	The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Baldi, Florencia	Innovation and Demand Risk in Grain Markets: The Impact of Plant-Based Meat
Basu, Devraj	Roll Reversal in Commodity Futures
Baur, Dirk	Green Gold - A Gold Mining Perspective
Bertolini, Marina	The Participation of Small-scale Variable Distributed Renewable Energy Sources to the Balancing Services Market
Bialek, Sylwia	Efficiency in Wholesale Electricity Markets: On the Role of Externalities and Subsidies
Bianchi, Daniele	Time-Varying Risk Exposures of Cryptocurrencies: Are They a New Asset Class?
Bichuch, Maxim	Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration
Bobenrieth, Eugenio	Solving Dynamic Models with Constraints on Accumulation
Bobenrieth, Juan	Solving Dynamic Models with Constraints on Accumulation
Boucher, Simon-Pierre	Has financialization changed the impact of macro announcements on commodity markets?
Bredin, Don	Commodity Pricing: Evidence from Rational and Behavioral Models
Bruno, Valentina	What Drives Volatility in Agricultural Futures Markets
C
Cao, An	Market Sentiment around USDA Announcements
Cartea, Álvaro	Hawkes process and market maker pricing on the German intraday electricity market
Chincarini, Ludwig	The Challenges of Oil Investing: Contango and Crowding
Collender, Sierra	Climate Change Transition Risk on Sovereign Bond Yield Spreads
Coppo, Massimiliano	The Participation of Small-scale Variable Distributed Renewable Energy Sources to the Balancing Services Market
Crosby, John	Jumps in Commodity Prices: New Approaches for Pricing Options
Csercsik, Dávid	Network Disruptions and the Security of Supply in the European Gas Network Convex Combinatorial Auction of Pipeline Network Capacities
D
D'Ecclesia, Rita	Esg score prediction through random forest algorithm Responsible Investments Reduce Market Risks
Dakos, Michael	Success of Initial Coin Offerings
Damato, Valeria	Esg score prediction through random forest algorithm
Detemple, Jerome	Optimal Technology Adoption for Power Generation Optimal Power Investment and Pandemics: A Micro-economic Analysis
Dubois, Michel	The valuation effects of index investment in commodity futures
E
Escribano, Álvaro	Merit-order effect on the Spanish day-ahead power market: An empirical assesment based on structural models
Etienne, Xiaoli	Regime Switching in the Energy Market Volatility: The Role of Economic Policy Uncertainty
F
Faff, Robert	The Commodity Risk Premium and Neural Networks
Falbo, Paolo	Joint optimization of sales-mix and generation plan for a large electricity producer ETS, Emissions and the Energy-Mix Problem
Figuerola-Ferretti, Isabel	Oil price analysts' forecasts
Firoozi, Dena	A Mean-Field Approach to Equilibrium Pricing, Optimal Generation, and Trading in Renewable Energy Certificate Markets
Fleten, Stein-Erik	The Reliability Pricing Mechanism and Coal-Fired Generators in PJM
Fontini, Fulvio	The Participation of Small-scale Variable Distributed Renewable Energy Sources to the Balancing Services Market
Fram, Benjamin	The Reliability Pricing Mechanism and Coal-Fired Generators in PJM
Frau, Carme	Jumps in Commodity Prices: New Approaches for Pricing Options
G
Gagnon, Marie Helene	Has financialization changed the impact of macro announcements on commodity markets?
Gao, Xin	The Relative Pricing of WTI and Brent Crude Oil Futures Term Structure: Expectations or Risk Premia?
Gilje, Erik	The Day that WTI Died: Asset Prices and Firm Production Decisions
Gomez-Valle, Lourdes	Estimation of the risk neutral freight rate dynamics: A nonparametric approach
Graf von Luckner, Nikolaus	Hawkes process and market maker pricing on the German intraday electricity market
Guerra, Ernesto	Solving Dynamic Models with Constraints on Accumulation
Guidolin, Massimo	Time-Varying Risk Exposures of Cryptocurrencies: Are They a New Asset Class? Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or Hidden Markov Models
Guiotto, Paolo	A New Integrated Risk-Management Policy for the Newsvendor Position
H
Hobbs, Benjamin	Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration
Hu, Xiaolu	Dynamic Optimality of Airline Fuel Cost Hedging
J
Jaimungal, Sebastian	A Mean-Field Approach to Equilibrium Pricing, Optimal Generation, and Trading in Renewable Energy Certificate Markets
K
Kabundi, Alain	Commodity Price Shocks: Order within Chaos?
Kanamura, Takashi	A Model of Price Correlations between Clean Energy Indices and Energy Commodities
Kemper, Annika	The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Kiesel, Ruediger	An Econometric Model for Intraday Electricity Trading Hawkes process and market maker pricing on the German intraday electricity market
Kilian, Lutz	Oil Prices, Gasoline Prices and Inflation Expectations
Kitapbayev, Yerkin	Optimal Technology Adoption for Power Generation Optimal Power Investment and Pandemics: A Micro-economic Analysis
Koch, Torben	Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem
Konstandatos, Otto	Wind generation and the dynamics of electricity prices in Australia
Kosar, Mariia	Do financially constrained firms engage in opportunistic and risky behavior? Evidence from the oil and gas production sector.
Kremer, Marcel	An Econometric Model for Intraday Electricity Trading
Kronies, Alexander	The bigger, the better?
Kurov, Alexander	Market Inefficiencies Surrounding Energy Announcements
Kyriakou, Ioannis	Estimation of the risk neutral freight rate dynamics: A nonparametric approach
Kóczy, László	Network Disruptions and the Security of Supply in the European Gas Network
L
Lair, Thibault	Scarcity risk premium
Lambinet, Rémy	Exchange-Traded Funds and their impact on commodity markets
Lautier, Delphine	The Euronext Wheat Market: Participants and their Importance
Lautier, Delphine	Exchange-Traded Funds and their impact on commodity markets
Le, Han	Crop Insurance, Futures Prices, and Commercial Trader Positions in Grains and Oilseed Markets
Levantesi, Susanna	Esg score prediction through random forest algorithm
Li, Bingxin	The Relative Pricing of WTI and Brent Crude Oil Futures Term Structure: Expectations or Risk Premia?
Ling, Julien	Exchange-Traded Funds and their impact on commodity markets
Liu, Rui	The Relative Pricing of WTI and Brent Crude Oil Futures Term Structure: Expectations or Risk Premia?
Loehndorf, Nils	The Value of Coordination in Multi-market Bidding of Grid Energy Storage
Loutia, Amine	OPEC production announcements: Effects on stock prices
Low, Rand	The Commodity Risk Premium and Neural Networks
Ludkovski, Mike	Stochastic Control for Microgrid Management
M
Maciejowska, Katarzyna	PCA forecast averaging – predicting day-ahead and intraday electricity prices
Marcjasz, Grzegorz	Artificial Neural Networks in EPF: Are deep structures beneficial?
Martinez-Rodriguez, Julia	Estimation of the risk neutral freight rate dynamics: A nonparametric approach
Maréchal, Loïc	The valuation effects of index investment in commodity futures
Mellios, Constantin	OPEC production announcements: Effects on stock prices
Melone, Alessandro	Stock-Oil Comovement: Fundamentals or Financialization?
Merener, Nicolas	Innovation and Demand Risk in Grain Markets: The Impact of Plant-Based Meat
Miffre, Joelle	The Commodity Risk Premium and Neural Networks
Mohseni Taheri, Seyed Danial	Meeting Corporate Renewable Power Targets
Moneta, Fabio	The Challenges of Oil Investing: Contango and Crowding
Morelli, Giacomo	Responsible Investments Reduce Market Risks
Moreno Fuentes, Manuel	How the public attention to climate change aects crude oil shocks: A wavelet analysis.
Mwampashi, Muthe	Wind generation and the dynamics of electricity prices in Australia
N
Nadarajah, Selvaprabu	Meeting Corporate Renewable Power Targets Pathwise optimization for merchant energy production
Nguyen, Duc	Asset Classes and Portfolio Diversification: Evidence from Stochastic Spanning Approach
Nomikos, Nikos	Estimation of the risk neutral freight rate dynamics: A nonparametric approach
O
Oggioni, Giorgia	Investing in flexible combined heat and power generation
Olmos Montero, Alejandro	How the public attention to climate change aects crude oil shocks: A wavelet analysis.
Ortega, Álvaro	Merit-order effect on the Spanish day-ahead power market: An empirical assesment based on structural models
P
Pantoja Robayo, Javier	Robust static hedging of price and volumetric risk
Paraschiv, Florentina	An Econometric Model for Intraday Electricity Trading
Pedio, Manuela	Time-Varying Risk Exposures of Cryptocurrencies: Are They a New Asset Class? Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or Hidden Markov Models
Pelizzari, Cristian	ETS, Emissions and the Energy-Mix Problem
Petroff, Casey	Export Bans and Commodity Price Volatility Expectations
Platania, Federico	How the public attention to climate change aects crude oil shocks: A wavelet analysis.
Potì, Valerio	Commodity Pricing: Evidence from Rational and Behavioral Models
Poullain, Alexis	The Euronext Wheat Market: Participants and their Importance
Power, Gabriel	Has financialization changed the impact of macro announcements on commodity markets?
Prokopczuk, Marcel	Convenience Yield Risk
Puente Moncayo, Diego	Climate Change Transition Risk on Sovereign Bond Yield Spreads
R
Rad, Hossein	The Commodity Risk Premium and Neural Networks
Rai, Alan	Wind generation and the dynamics of electricity prices in Australia
Randl, Otto	Stock-Oil Comovement: Fundamentals or Financialization?
Ready, Mark	Order Flows and Financial Investor Impacts in Commodity Futures Markets
Ready, Robert	Order Flows and Financial Investor Impacts in Commodity Futures Markets The Day that WTI Died: Asset Prices and Firm Production Decisions
Recchioni, Maria Cristina	Interaction and herding behavior among the market agents: Evidence from grains futures
Richards, Kylie-Anne	Climate Change Transition Risk on Sovereign Bond Yield Spreads
Rizzini, Giorgio	ETS, Emissions and the Energy-Mix Problem
Robe, Michel	The Euronext Wheat Market: Participants and their Importance Market Sentiment around USDA Announcements What Drives Volatility in Agricultural Futures Markets Export Bans and Commodity Price Volatility Expectations 20 Years of Daily Position Data in U.S. Grains and Oilseeds Futures Markets Crop Insurance, Futures Prices, and Commercial Trader Positions in Grains and Oilseed Markets
Roberts, John	20 Years of Daily Position Data in U.S. Grains and Oilseeds Futures Markets
Rodriguez Gallego, Alejandro	Oil price analysts' forecasts
Roncoroni, Andrea	A New Integrated Risk-Management Policy for the Newsvendor Position
Roussanov, Nikolai	The Day that WTI Died: Asset Prices and Firm Production Decisions
Ruiz Mora, Carlos	Joint optimization of sales-mix and generation plan for a large electricity producer
Ryan, Laura	Climate Change Transition Risk on Sovereign Bond Yield Spreads
S
Salvador, Enrique	Commodity Pricing: Evidence from Rational and Behavioral Models
Sanchez de Rivera, Juan Ignacio Peña	Ex-ante Day-Ahead Premium and Optimal Hedging in Electricity Markets with Renewable and Conventional Producers
Sanchez Gonzalez, Jim	Robust static hedging of price and volumetric risk
Scarcioffolo, Alexandre	Regime Switching in the Energy Market Volatility: The Role of Economic Policy Uncertainty
Schmeck, Maren	Joint optimization of sales-mix and generation plan for a large electricity producer The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Schwartz, Eduardo	Oil price analysts' forecasts
Secomandi, Nicola	Pathwise optimization for merchant energy production Quadratic Hedging of Futures Term Structure Risk in Merchant Energy Trading Operations
Seleznev, Sergei	Do financially constrained firms engage in opportunistic and risky behavior? Evidence from the oil and gas production sector.
Selezneva, Veronika	Do financially constrained firms engage in opportunistic and risky behavior? Evidence from the oil and gas production sector.
Serafin, Tomasz	PCA forecast averaging – predicting day-ahead and intraday electricity prices
Shrivats, Arvind	A Mean-Field Approach to Equilibrium Pricing, Optimal Generation, and Trading in Renewable Energy Certificate Markets
Sklibosios Nikitopoulos, Christina	Climate Change Transition Risk on Sovereign Bond Yield Spreads Wind generation and the dynamics of electricity prices in Australia
Soegner, Leopold	Stock-Oil Comovement: Fundamentals or Financialization?
Song, Xinyue	Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration
Stancu, Andrei	The Dynamics of Storage Costs
Stefanelli, Kevyn	Responsible Investments Reduce Market Risks
Sy, Malick	Dynamic Optimality of Airline Fuel Cost Hedging
Symeonidis, Lazaros	The Dynamics of Storage Costs Convenience Yield Risk
Sziklai, Balázs	Network Disruptions and the Security of Supply in the European Gas Network
T
Taillard, Jerome	The Day that WTI Died: Asset Prices and Firm Production Decisions
Tkach, Kateryna	Interaction and herding behavior among the market agents: Evidence from grains futures
Topaloglou, Nikolas	Asset Classes and Portfolio Diversification: Evidence from Stochastic Spanning Approach
Trench, Allan	Green Gold - A Gold Mining Perspective
Trivella, Alessio	Meeting Corporate Renewable Power Targets
U
Ullrich, Carl	The Reliability Pricing Mechanism and Coal-Fired Generators in PJM
Ulrich, Sam	Green Gold - A Gold Mining Perspective
Unel, Burcin	Efficiency in Wholesale Electricity Markets: On the Role of Externalities and Subsidies
Uniejewski, Bartosz	PCA forecast averaging – predicting day-ahead and intraday electricity prices Regularized Quantile Regression Averaging for probabilistic electricity price forecasting
V
Vargiolu, Tiziano	Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem Optimal installation of renewable electricity sources: the case of Italy
Vera Lizcano, Juan	Robust static hedging of price and volumetric risk
Villeneuve, Bertrand	Exchange-Traded Funds and their impact on commodity markets
Vivian, Andrew	Roll Reversal in Commodity Futures
W
Walther, Thomas	Asset Classes and Portfolio Diversification: Evidence from Stochastic Spanning Approach
Wang, Yijiao	Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration
Weron, Rafał	Artificial Neural Networks in EPF: Are deep structures beneficial? Regularized Quantile Regression Averaging for probabilistic electricity price forecasting
Wese, Chardin	The Dynamics of Storage Costs Convenience Yield Risk
Wichmann, Robert	Convenience Yield Risk
Wozabal, David	The Value of Coordination in Multi-market Bidding of Grid Energy Storage
Wright, Brian	Solving Dynamic Models with Constraints on Accumulation
Wu, Liuren	Dynamic Optimality of Airline Fuel Cost Hedging
Y
Yang, Bo	Pathwise optimization for merchant energy production Quadratic Hedging of Futures Term Structure Risk in Merchant Energy Trading Operations
Yuan, Shanshan	Ex-ante Day-Ahead Premium and Optimal Hedging in Electricity Markets with Renewable and Conventional Producers
Z
Zechner, Josef	Stock-Oil Comovement: Fundamentals or Financialization?
Zhao, Lei	The Dynamics of Storage Costs
Zhou, Xiaoqing	Oil Prices, Gasoline Prices and Inflation Expectations
Zormpas, Dimitrios	Investing in flexible combined heat and power generation

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