PhD in Economics and Management

Purpose of the course
Energy Markets analysis could be carried out from different perspectives. The main idea behind this course would be to focus on the economics of energy markets and on related quantitative models based on linear and nonlinear processes for measuring and forecasting volumes and prices. The focus of the course will be on electricity markets, although reference will also be made to natural gas markets.
Some recent developments about the introduction of renewable sources on the electricity grid and to the economic feasibility of electricity storage will conclude the course.
The main goal of the course will be to illustrate methods and approaches with detailed examples using real data and to provide PhD students with a set of economic models and econometric-statistical tools to perform reliable and original analyses.

Prerequisites
PhD students should be familiar with basic notions of time series analysis and stochastic processes in discrete time and with elementary notions of industrial economics.
Basic knowledge from statistics and econometrics plus rudimentary experiences with data and numerical calculations will be helpful. Quantitative analysis will be performed by the freeware software R (http://cran.r-project.org/).

Program

Table of Content

1. Stylized facts of electricity prices
Price spikes: what determines spikes. Case studies.
Seasonality: determinants. Autocorrelation structure and frequency domain analysis.
Seasonal decomposition: moving average technique, spectral decomposition, rolling volatility technique.
Mean reversion: detrended fluctuation analysis, periodogram regression
Volatility clustering and leverage effect

2. Modelling electricity loads and prices
Factors affecting load patterns (demand side): time factors and weathers conditions. Analysis of weather variables.
Factors affecting prices (supply side): generation factors. The impact of renewables electricity sources.
ARIMA-type models
Regression models with exogenous regressors
GARCH models
Switching models

3. Forecasting and evaluation of forecasting performances
Forecasting loads and prices: selection of the best model
Assessing forecasting performances of alternative models: MAPE, MPE, Theil’s index, Diebold and Mariano test.
The rolling windows technique
Case studies

4. Further topics
Energy storage: the case of gas and electricity
Robust methods for energy prices and loads: implications on forecasting performances
Shift-share analysis of energy demand

Textbooks

For the statistical and econometric analysis of time series we recommend:
Hamilton J.D. (1994), "Time Series Analysis", Princeton University Press.

and for the statistical analysis of electricity markets
Bunn D.(Ed.) 2004, “Modelling Prices in Competitive Electricity Markets”, Wiley.

As main reference book for the course:
Weron R., (2006), "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach", Wiley.

Reference texts
Author	Title	Publishing house	Year	ISBN	Notes
Rafal Weron	Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach	Wiley, Chichester + CD-ROM	2006

Examination Methods

Project Work

Students with disabilities or specific learning disorders (SLD), who intend to request the adaptation of the exam, must follow the instructions given HERE

PhDs

Training and Research

PhD Programme Courses/classes

Academic writing in latex and academic presentation

Advanced English for Academic Skills

Agenda dell’organizzazione delle nazioni unite 2030 sullo sviluppo sostenibile, ricerca e diritto antidiscriminatorio: strumenti ed esperienze nelle università

Artificial intelligence, cybersecurity e diritto

Behavioral and Experimental Economics

Comunicare la scienza: il ruolo dei ricercatori e il rapporto tra esperti, cittadini e istituzioni

Corporate Governance

Corso di inglese B1/certificazione B1

Corso di inglese B2/certificazione B2

Corso di inglese C1/certificazione C1

Corso di lingua italiana per stranieri

Corso di programmazione con matlab

Medical statistics with R

Basic statistics course

Intermediate statistics course

(Meta-analysis using the statistical software Stata and R

Corso teorico-pratico di microscopia di base

Development economics

Diritto d'autore e brevetti

Dissemination dei risultati della ricerca

Econometrics for management

Economia dei Mercati Energetici

English for academic presentations

English for academic writing

Finanza

Game Theory

Inequality

Introduzione al “public speaking”

La mia archeologia e la mia politica culturale

Python programming language

Macro economics

Mathematics

Microeconomics 1

Organization Theory

Political economy

Presentation of Horizon Europe framework programme

Probability

Project writing for beginners

Qualitative methodologies in management studies

Quantitative methodologies in management studies

Seminario Consigliera di fiducia

Software R

Spin off e start-up innovative

Statistica

Supply Chain Management

Protecting psychological well-being in the PhD program: development and enhancement of personal strategies and attitudes that predispose to professional satisfaction and ethical collaboration.

Economia dei Mercati Energetici (2020/2021)

Learning outcomes

Program

Examination Methods

Univr risponde - Assistente Virtuale

Univr risponde