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International Business Administration

Modeling of Electricity Markets (R-Module)

Exam number: 6777

Semester: from 1st semester

Duration of the module: One semester

Form of the module (i.e. obligatory, elective etc.): Elective

Frequency of module offer: Only winter semester 2016/2017

Prerequisites: Good knowledge of linear models. Understanding of AR(p) processes is very helpful. R knowledge (esp. functions like lm).

Applicability of module for other study programmes:
Obligatory or elective in other study programmes. For further information check regulations of the study programme.

Person responsible for module: Prof. Dr. Sven Husmann

Name of the professor: Dr. Florian Ziel

Language of teaching: English

ECTS-Credits (based on the workload): 6

Workload and its composition (self-study, contact time):
Contact time (lecture, tutorials, seminar etc.): 45 h; self-study: 135 h

Contact hours (per week in semester): 3

Methods and duration of examination:
Weighted average of an R project and an oral exam.

Emphasis of the grade for the final grade: Please check regulations of the study programme

Aim of the module (expected learning outcomes and competencies to be acquired):
The objective of the lecture is to provide a basic understanding of electricity markets and regression based modeling methods for electricity prices. The aim of this course is to apply estimation and forecasting algorithms to real data using the statistical Software R, to interpret and to visualize the results.

Contents of the module:
1. Introduction to electricity markets
2. Overview of different model approaches
3. Regression based modeling methods for electricity prices
4. Forecasting techniques
5. Advanced estimation and modeling approaches

Teaching and learning methods:
Lecture with included tutorials in R

Literature (compulsory reading, recommended literature):
The relevant material will be given during the course.
Suggested reading:
Weron, Rafał. "Electricity price forecasting: A review of the state-of-the-art with a look into the future." International Journal of Forecasting 30.4 (2014): 1030-1081.
Ziel, Florian, Rick Steinert, and Sven Husmann. "Efficient modeling and forecasting of electricity spot prices." Energy Economics 47 (2015): 98-111.
Ziel, Florian, Rick Steinert, and Sven Husmann. "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets." Energy Economics 51 (2015): 430-444.

Further information:
Registration in Moodle Viadrina required.