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Humboldt-Universität zu Berlin - IRI THESys

Statistical Models in Energy markets

Franziska Schulz is a doctoral researcher at the Ladislaus von Bortkiewicz Chair of Statistics at Humboldt-University Berlin. Her research interests include modelling the dynamics in electricity markets and the occurrence of extremes in prices and demand. She especially focuses on the dependencies between weather and the electricity market and how renewable energy production impacts the pricing mechanism for electricity.

 

Energy markets have seen dramatic and unpredictable changes in recent years, which were induced by political and technological developments. Statistical tools can be beneficial to understand the dynamics of energy markets and to assess the risk for market participants. In my Phd project I focus on three mains aspects.

First, I investigate the interrelations between renewable energy production and other markets, e.g. food. Due to the increasing amount of biofuel production, fostered by politics, food and energy markets become more and more linked. Statistical tools can be employed to analyze these linkages and their effects on food price dynamics.

Second, increasing renewable energy production also affects the structure of the energy market itself. The price of electricity for example highly depends on the amount of renewable electricity infeed. Therefore, it is of high interest to investigate the dependence structure and the impacts on the pricing mechanism for electricity.

Third, in order to understand the dynamics in electricity prices knowledge about electricity consumption is crucial. Therefore, I will investigate statistical methods for modeling and forecasting energy consumption, with a focus on extreme events. Energy consumption exhibits some features like strong seasonal pattern and dependence on exogenous variables such as temperature, which have to be incorporated into the modeling process.

Franziska graduated as a Master of Science in Statistics at Humboldt University Berlin in September 2012. The focus of her thesis was on volatility linkages between food and biofuel prices. She worked as a student assistant at the Chair of statistics and the department of agricultural economics at HU Berlin. Since January 2013, Franziska Schulz is part of the collaborative research center 649, subproject C11 “Weather Risk Management”, where she works on theoretical models and empirical data analysis in the area of energy finance.

 

Contact

Franziska Schulz, Doctoral Researcher
THESys Graduate Program
Phone: +49 (0)30 2093-5623
E-mail: sulzfran@hu-berlin.de