3 citations · 3 across the 1 of their papers we have counts for
3 papers
q-fin.TR2020★ 3 cited
Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories
Christopher Kath, Florian Ziel
Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world…
econ.EM2019
Conformal Prediction Interval Estimations with an Application to Day-Ahead and Intraday Power Markets
Christopher Kath, Florian Ziel
We discuss a concept denoted as Conformal Prediction (CP) in this paper. While initially stemming from the world of machine learning, it was never applied or analyzed in the contex…
q-fin.ST2018
The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts
Christopher Kath, Florian Ziel
We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. While the literature is diverse on day-ahead prediction approach…