Statistics in Energy

February 19-20, 2015

'a mini-workshop ... within a workshop'

The Statistics in Energy session is a mini-workshop ... within a workshop, the 12th SMSA Workshop held in Wroc³aw on February 16-20, 2015:

The topics include, but are not limited to emissions trading, electricity spot price forecasting and modeling, power market data filtering, probabilistic forecasting and risk assessment, renewables, valuation of commodity derivatives and wind power. This event continues the tradition of the Energy Finance Christmas workshops (EFC11 - Wroc³aw, EFC12 - Sydney, EFC13 - Oslo, EFC14 - St.Gallen), but puts more stress on the statistics behind the models.

Speakers, organizers, venue (updated 2015-02-19)
Workshop schedule and slides (updated 2015-03-02)
Travel tips, accommodation suggestions (updated 2015-01-17)
Google map with all major locations of interest (updated 2015-01-17)

Picasa album (SMSA2015 photos)

Invited speakers:

Clemence Alasseur (Clamart-Paris, F)
Daniel Ambach (Frankfurt a.Oder, D)
Kai Erik Dahlen (Trondheim, N)
Paolo Falbo (Brescia, I)
Olivier Féron (Clamart-Paris, F)
Matylda Jab³oñska-Sabuka (Lappeenranta, FIN)
Carlo Lucheroni (Camerino, I)
Takashi Kanamura (Kyoto, J)
Katarzyna Maciejowska (Wroc³aw, PL)
Jakub Nowotarski (Wroc³aw, PL)
Florentina Paraschiv (St.Gallen, CH)
Sandro Sapio (Naples, I)
Michael Schürle (St.Gallen, CH)
Almut Veraart (London, UK)
Florian Ziel (Frankfurt a.Oder, D)

Last minute dropouts:

Pierre Pinson (Lyngby, DK)
Sjur Westgaard (Trondheim, N)

Hosted by:
Rafa³ Weron

... with the help of:
Katarzyna Maciejowska and Jakub Nowotarski

Wroc³aw University of Technology (WUT), Poland
Building D-21
(WUT campus map:
JPG, 1.9MB)

Workshop schedule:
Note that all talks are 30 min, including discussion (... for some reason the INDICO web schedule admits only 25 minute talks, hence, do not trust the INDICO web schedule too much :-).

Thursday, Feb 19, 2015 (INDICO web schedule)

13:20-14:40 Lunch

14:40-16:10 PART I - Session XXII (3 x 30 min)

  • Clemence Alasseur, Review of electricity price models used in practice by a power utility [ Slides 1.0 MB]
  • Jakub Nowotarski, GEFCom2014 competition and probabilistic electricity price forecasting [ Slides 1.9 MB]
  • Michael Schürle, A spot-forward model for electricity prices with regime shifts [ Slides 1.3 MB]

16:20-16:50 Coffee break

16:50-18:50 PART II - Session XXV (4 x 30 min)

  • Almut Veraart, The impact of wind power production on electricity prices [ Slides 360 KB]
  • Sandro Sapio, The impact of renewables on electricity prices and congestion in a regime switching model: Evidence from the Italian grid [ Slides 190 KB]
  • Matylda Jab³oñska-Sabuka, Periodic models for hydrological storage reservoir levels. Case Study of New Zealand
  • Daniel Ambach, Obtaining superior wind speed and power predictions [ Slides 1.7 MB]

Friday, Feb 20, 2015 (INDICO web schedule)

09:30-11:30 PART III - Session XXVIII.a (3 x 30 min)
  • Kai Erik Dahlen, Risk modelling of energy futures: A comparison of RiskMetrics, historical simulation, filtered historical simulation, and quantile regression
  • Olivier Féron, Modeling spot, forward and option prices of several commodities: A regime switching approach [ Slides 450 KB]
  • Florentina Paraschiv, Optimization of hydro storage systems and indifference pricing of power contracts [ Slides 650 KB]

11:00-11:15 Coffee break

11:15-12:15 PART IV - Session XXVIII.b (2 x 30 min)

  • Carlo Lucheroni, Thermal and nuclear energy portfolio selection using stochastic LCOE risk measures [ Slides 310 KB]
  • Florian Ziel, Modelling electricity spot prices using LASSO methods [ Slides 17.1 MB]

12:15-13:15 Lunch

13:15-14:45 PART V - Session XXX (3 x 30 min)

  • Paolo Falbo, Approximating Markov Chains for bootstrapping and simulation in electricity markets [Slides 1.2 MB]
  • Katarzyna Maciejowska, Fundamental and speculative shocks - structural analysis of the UK electricity market [ Slides 1.2 MB]
  • Takashi Kanamura, Dynamic price linkage and volatility structure between carbon markets [ Slides 165 KB]

Travel tips:
(see these locations on Google maps; updated 2015-01-17)

Check the Wroc³aw airport website for direct flights to/from Wroc³aw. Bus #406 runs every 20 minutes to the Central Railway Station, which is ca. 20 min walking distance from downtown or 4-7 tram/bus stops from WUT (trams #0L, #2 and buses #145, #146 - to PL.GRUNWALDZKI). See the timetable of bus #406 for departure times (PORT LOTNICZY = Airport, DWORCOWA = Central Railway Station; PL.GRUNWALDZKI = bus/tram stop in the vicinity of WUT)

It is also possible to reach Wroc³aw by train (a 3:30 hour connection to/from Dresden runs 3 times a day). For connections and prices see the
PKP website

In Wroc³aw you can use trams/buses (
timetables) or taxis (phone numbers) for local communication. The conference site (at WUT) can be reached from tram/bus stop PL.GRUNWALDZKI (ca. 3 min). Single-ride (bilet jednorazowy) and 30-minute (bilet czasowy) tickets cost 3.00 PLN.

Here you can find a trip planner (tram/bus connections within Wroc³aw).

Accommodation suggestions:

Nice and cozy:

  • The Granary - La Suite Hotel***** (downtown, ca. 30 min walk to WUT or 5 min walk and 4/5 tram stops, ca. 550 PLN/night w/breakfast)
  • Art hotel**** (downtown, ca. 35 min walk to WUT or 10 min walk and 4/5 tram stops, ca. 320 PLN/night w/breakfast)
  • Hotel of John Paul II**** (near the Cathedral, close to downtown and WUT, ca. 25 min walk to WUT or 10 min walk and 3/4 tram stops, ca. 260 PLN/night w/breakfast)

More hotels on

(exchange rate: 1 EUR = ca. 4.20/4.40 PLN, other currencies)

More business like:

  • Radisson Blu Hotel, Wroclaw***** (on the way from WUT to downtown, ca. 20 min walk to WUT or 5 min walk and 3/4 tram stops, ca. 400 PLN/night w/breakfast)
  • Sofitel Wroc³aw Old Town**** (downtown, ca. 35 min walk to WUT or 10 min walk and 4/5 tram stops, ca. 470 PLN/night w/breakfast)
  • Hotel Mercure*** (on the way from WUT to downtown; ca. 25 min walk to WUT or 3/4 tram stops, ca. 360 PLN/night w/breakfast)
  • WenderEDU Hotel** (near the Cathedral, close to downtown and WUT, ca. 20 min walk to WUT or 5 min walk and 3/4 tram stops, ca. 150 PLN/night w/breakfast)

Rafa³ Weron's homepage

Last modified on 2015-03-05