Portfolio item number 1
Short description of portfolio item number 1
Posts by Collection
portfolio
Portfolio item number 2
Short description of portfolio item number 2
publications
Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact
Published in arXiv (q-fin.TR), 2025
This paper investigates optimal execution strategies in intraday energy markets through a bivariate Hawkes process with transient price impact. Calibrated to German intraday electricity data, the model reproduces:
Recommended citation: Konstantinos Chatziandreou and Sven Karbach (2025). “Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact.” arXiv, arXiv:2504.10282.
Download Paper
talks
Dutch Math Finance afternoons
Published:
Title: Optimal Execution strategies in short-term energy markets under (Marked) Hawkes processes More information here
17th German Probability and Statistics Days (GPSD) 2025
Published:
Title: Optimal Execution strategies in short-term energy markets under (Marked) Hawkes processes More information here
teaching
Portfolio Theory
Graduate course, University of Amsterdam, KdVI for Mathematics, 2024
Advanced Topics in Computational Finance
Graduate course, University of Amsterdam, Computational Science and KdVI for Mathematics, 2024