Intensive courses and PhD gathering

On 5-7 September the first STORE PHD Gathering will take place, with two intensive courses. The first is on the new class of stochastic processes called Trawl processes and instructed by Almut Veraart from Imperial College London, UK. The second is led by Rudiger Kiesel from University of Duisburg-Essen, Germany, and focuses on intra-day trading of electricity. 

In this first STORE PHD Gathering there will be two intensive courses, one over three days given by Almut Veraart from Imperial College London and one over two days by Rudiger Kiesel from University of Duisburg-Essen. In addition, on Monday Sept 5, all PhD students assosicated to the STORE project will given short presentations of their projects.   



Monday Sept 5

13.15-15.00: Lectures by Almut Veraart

15.15-16.00: Lecture by Rudiger Kiesel

16.15-17.30: PhD presentations of 15 minutes each

Tuesday Sept 6

13.15-15.00: Lectures by Almut Veraart

15.15-16.00: Lecture by Rudiger Kiesel

Wednesday Sept 7 (NOTE: In room 1133! New time!!!!)

09.15-11.00: Lectures by Almut Veraart


Description of intensive course by Almut Veraart                    

An introduction to trawl processes: Theory and applications

This course introduces the class of so-called trawl processes, which are special cases of mixed moving average processes driven by Levy noise and also fall into the class of so-called ambit fields.   We will study their main properties and also discuss stochastic simulation and statistical inference for such processes. In order to showcase the breadth of possible applications for trawl processes, we will focus on two rather diverse applications: The modelling of high frequency financial data and the modelling of extreme rainfall. 

The tentative schedule for this course is given below.

Lectures 1-2: Definition and key properties of trawl processes

Lectures 3-4: Stochastic simulation and statistical inference for trawl processes

Lectures 5-6: Applications: 1) Modelling high frequency financial data by trawl processes, 2) A latent trawl model for extreme rainfall


Description of intensive course by Rudiger Kiesel             

Intra-day trading of electricity

This course will give an introduction to short-term electricity markets. We will study the relation of day-ahead and intra-day prices on the EPEX. Using an econometric model, we will identify different trading regimes for quarter-hour products. In the second part, we will study optimal trading strategies for market makers in the intra-day market.


Fred Espen Benth
Published June 6, 2016 7:55 AM - Last modified Sep. 2, 2016 2:24 PM