Prof. Dr. Rainer Baule
Photo: Hardy Welsch
Contact
E-Mail: rainer.baule
Institutional Affiliation
Faculty for Business Administration and Economics
Chair of Business Administration, esp. Banking and Finance
Additional Information: Profile
Research Interests
(in the fields covered by the research center)
Since 2009, spot trading for electricity for the central European markets has been taking place at EPEX SPOT in Paris. The most important products are the day-ahead auction, die intraday auction, and continuous intraday trading with 15-, 30- and 60-minute contracts. As an indicator of price fluctuation, volatility represents important information for market participants because it is directly related to price risk.
Our research interests lie in the analysis of volatilities in electricity markets based on high-frequency data. This includes a comparison of various volatility terms and definitions, an investigation of statistical relationships between volatilities using time series models as well as an identification of significantly influencing factors such as the share of renewable energies in current electricity generation. The insights can be used as a basis for applied research, particularly within the framework of the MaxFab project.
