Michael Naumann, M. Sc.
Profile
| Since 2017 | Research assistant at Faculty of Economic Sciences, Chair of Banking and Finance, at University of Hagen, Germany |
| Since 2014 | Studies in Mathematics at University of Göttingen, Germany |
| 2015 - 2017 | Studies in Business Administration and Economics at University of Hagen, Germany, Master of Science |
| 2012 - 2015 | Studies in Economics at University of Hagen, Germany, Bachelor of Science |
| 2011 | A-levels |
Research Focus
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Volatilities on electricity exchanges
There are diverse topics in the field of energy research. In particular, the price and the generation of electricity define frequently investigated research topics. The main objective of the research project is to analyze the volatility of power exchanges. There are many possibilities referring to electricity supply that can be traded on the “EPEX SPOT“. For example per Day-Ahead-auction or the continuous intraday-market. On this occasion, the volatility is a measure for the variation of the prices. The measure provides important information for the market participants since it is a measure of price risk. Especially, there are numerous (positive as well as negative) price spikes on the continuous intraday-market. Usually, they occur when the generation of renewable energies reaches extremely low or high levels. For various reasons, we cannot transfer the measure of the classical financial volatility to the electricity market right away. Therefore, the first goal of this research project is to answer the question how we can measure the risk on the continuous intraday-market. For this, we construct and compare different risk measures, which consider the special features of the continuous intraday-market. In the following, we analyze the influence of renewable energies, given by solar and wind energy, on the risk measures.
Conference Participations
- Design of flexible short-term energy contracts - An analysis of trading strategies on the continuous intraday market
OR 2021 International Conference on Operations Research
Online, 31.08.2021. - Design of flexible short-term energy contracts - An analysis of trading strategies on the continuous intraday market
31st European Conference on Operational Research
Online, 12.07.2021. - Volatility and dispersion of hourly electricity contracts on the continuous intraday market
26th Annual Meeting of the German Finance Association (DGF)
Essen, 28.09.2019. - Volatility of hourly electricity contracts on the continuous intraday market
6th European Conference on Data Analysis (ECDA)
Bayreuth, 18.03.2019. - Volatility of hourly electricity contracts on the continuous intraday market
Workshop der Financial Management and Financial Institutions Working Group der Gesellschaft für Operations Research (GOR AG FIFI)
Lemgo, 01.02.2019.
