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.
The project is structured around three main axes, responding to three current issues in the world of energy markets:
- The modelling of energy markets: recent advances in price modelling in energy markets call for the redefinition of a number of industrial issues (which in turn have implications for risk management).
- Forecasting for renewable energy production: the forecasting of electricity demand and of the production of renewable energy at different space and time scales is essential for the efficient functioning of an energy system with a high proportion of renewables.
- Statistical inference in energy markets: recent advances in price modelling in the energy markets also impact in-depth process statistics, and lead to the reconsideration of its links with statistical finance.
Each of the axes will be the subject of a specific workshop:
- Workshop #1: February 2nd 2018 (Campus EDF, Paris Saclay),
- Workshop #2: March 16th 2018 (Palais Brongniart, Paris)
- Workshop #3: May 25th 2018 (Institut Henri Poincaré, Paris)
The thematic semester will conclude with two events:
- A Summer School: June 18-20 2018 (Domaine de Normont, Dourdan)
- A Closing Conference: June 21-22 2018 (Domaine de Normont, Dourdan)
General coordination of the semester
Olivier Féron (EDF Lab, Paris-Saclay and Laboratoire Finance des Markets de lEnergie) and Marc Hoffmann (Paris-Dauphine University) are responsible for the overall coordination.
- Clémence Alasseur, EDFLab
- Olivier Féron, EDFLab
- Yanig Goude, EDFLab
- Emmanuel Gobet, Ecole Polytechnique
- Marc Hoffmann, Paris-Dauphine University
- Mathieu Rosenbaum, Ecole Polytechnique
- Peter Tankov, ENSAE ParisTech
Research Initiatives and associated institutions
The thematic semester is supported by:
Institut Louis Bachelier (through the Labex "Finance and sustainable growth")
"Finance for Energy Markets" Research Initiative
"Finance & Sustainable Development" Chair