Curriculum Vitae:

03.2023-09.2023 Parental leave (with part time employment as Assistant Professor)

07.2021-10.2021 Parental leave (with part time employment as Assistant Professor)

since 07.2020 Appointed Member of the Junge Akademie at the Berlin-Brandenburg Academy of Sciences and Humanities (BBAW) and the German National Academy of Sciences Leopoldina

since 02.2017 Assistant Professor for Environmental Economics, esp. Economics for Renewable Energies, University of Duisburg-Essen, Germany (positve evaluation on 11.2019, equivalent to habilitation)

04.2019-09.2019 Parental leave (with part time employment as Assistant Professor)

01.2019-04.2019 Visiting researcher in the research programm 'The Mathematics for Energy Systems', Isaac Newton Institute, Cambridge, UK

09.2012-01.2017 Research Associate, Faculty of Business Administration and Economics, European University Viadrina, Frankfurt (Oder), Germany

07.2016-12.2016 Academic Visitor at the Centre for Industrial and Applied Mathematics (OCIAM), University of Oxford, Oxford, UK

09.2012-06.2016 PhD in Business Administration and Economics at the European University Viadrina, Frankfurt (Oder), Germany

06.2015-09.2015 DAAD-visiting research at the European Centre for Advanced Research in Economics and Statistics (ECARES) of the Université libre de Bruxelles (ULB), Brussels, Belgium

10.2008-02.2013 Diplom in Mathematics, Technical University of Dresden, Dresden, Germany

09.2011-08.2012 M.Sc. in Statistics, University College Dublin, Dublin, Ireland

Publications:

• Berrisch, Jonathan; Ziel, Florian: Multivariate probabilistic CRPS learning with an application to day-ahead electricity prices. In: International Journal of Forecasting (2024). doi:10.1016/j.ijforecast.2024.01.005Full textCitationAbstractDetails

  This paper presents a new method for combining (or aggregating or ensembling) multivariate probabilistic forecasts, considering dependencies between quantiles and marginals through a smoothing procedure that allows for online learning. We discuss two smoothing methods: dimensionality reduction using Basis matrices and penalized smoothing. The new online learning algorithm generalizes the standard CRPS learning framework into multivariate dimensions. It is based on Bernstein Online Aggregation (BOA) and yields optimal asymptotic learning properties. The procedure uses horizontal aggregation, i.e., aggregation across quantiles. We provide an in-depth discussion on possible extensions of the algorithm and several nested cases related to the existing literature on online forecast combination. We apply the proposed methodology to forecasting day-ahead electricity prices, which are 24-dimensional distributional forecasts. The proposed method yields significant improvements over uniform combination in terms of continuous ranked probability score (CRPS). We discuss the temporal evolution of the weights and hyperparameters and present the results of reduced versions of the preferred model. A fast C＋＋implementation of the proposed algorithm is provided in the open-source R-Package profoc on CRAN.

• Hirsch, Simon; Ziel, Florian: Multivariate simulation-based forecasting for intraday power markets: Modeling cross-product price effects. In: Applied Stochastic Models in Business and Industry (2024). doi:doi.org/10.1002/asmb.2837Full textCitationDetails
• Björn, Sonnenschein; Florian, Ziel: Probabilistic Intraday Wastewater Treatment Plant Inflow Forecast Utilizing Rain Forecast Data and Sewer Network Sensor Data. In: Water Resources Research (2023). doi:doi.org/10.1029/2022WR033826CitationDetails
• Marcjasz, Grzegorz; Narajewski, Michał; Weron, Rafał; Ziel, Florian: Distributional neural networks for electricity price forecasting. In: Energy Economics (2023). doi:10.1016/j.eneco.2023.106843CitationDetails
• Sgarlato, Raffaele; Ziel, Florian: The Role of Weather Predictions in Electricity Price Forecasting Beyond the Day-Ahead Horizon. In: IEEE Transactions on Power Systems, Vol 38 (2023) No 3, p. 2500-2511. doi:10.1109/TPWRS.2022.3180119CitationDetails
• Hirsch, Simon; Ziel, Florian: Simulation-based Forecasting for Intraday Power Markets: Modelling Fundamental Drivers for Location, Shape and Scale of the Price Distribution. In: The Energy Journal (2023). doi:doi.org/10.5547/01956574.45.3.shirCitationDetails
• Berrisch, Jonathan; Narajewski, Michal; Ziel, Florian: High-resolution peak demand estimation using generalized additive models and deep neural networks. In: Energy and AI, Vol 13 (2023), p. 100236. Full textCitationDetails
• Berrisch, Jonathan; Ziel, Florian: CRPS learning. In: Journal of Econometrics, Vol 237 (2023), p. 105221. doi:10.1016/j.jeconom.2021.11.008Full textCitationAbstractDetails

  Combination and aggregation techniques can significantly improve forecast accuracy. This also holds for probabilistic forecasting methods where predictive distributions are combined. There are several time-varying and adaptive weighting schemes such as Bayesian model averaging (BMA). However, the quality of different forecasts may vary not only over time but also within the distribution. For example, some distribution forecasts may be more accurate in the center of the distributions, while others are better at predicting the tails. Therefore, we introduce a new weighting method that considers the differences in performance over time and within the distribution. We discuss pointwise combination algorithms based on aggregation across quantiles that optimize with respect to the continuous ranked probability score (CRPS). After analyzing the theoretical properties of pointwise CRPS learning, we discuss B- and P-Spline-based estimation techniques for batch and online learning, based on quantile regression and prediction with expert advice. We prove that the proposed fully adaptive Bernstein online aggregation (BOA) method for pointwise CRPS online learning has optimal convergence properties. They are confirmed in simulations and a probabilistic forecasting study for European emission allowance (EUA) prices.

• Berrisch, Jonathan; Pappert, Sven; Ziel, Florian; Arsova, Antonia: Modeling volatility and dependence of European carbon and energy prices. In: Finance Research Letters, Vol 52 (2023), p. 103503. doi:10.1016/j.frl.2022.103503Full textCitationDetails
• Ghelasi, Paul; Ziel, Florian: Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions. In: International Journal of Forecasting (2022). doi:10.1016/j.ijforecast.2022.11.004CitationDetails
• Finnah, Benedikt; Gönsch, Jochen; Ziel, Florian: Integrated day-ahead and intraday self-schedule bidding for energy storage systems using approximate dynamic programming. In: European Journal of Operations Research, Vol 301 (2022) No 2, p. 726-746. CitationDetails
• Narajewski, Michal; Ziel, Florian: Optimal bidding in hourly and quarter-hourly electricity price auctions: Trading large volumes of power with market impact and transaction costs. In: Energy Economics, Vol 110 (2022). doi:10.1016/j.eneco.2022.105974CitationDetails
• Petropoulos, Fotios; Apiletti, Daniele; Assimakopoulos, Vassilios; Babai, Mohamed Zied; Barrow, Devon K.; Taieb, Souhaib Ben; Bergmeir, Christoph; . . .; Winkler, Robert L.; Yusupova, Alisa; Ziel, Florian: Forecasting: theory and practice. In: International Journal of Forecasting (2021). CitationDetails
• Ziel, Florian: M5 Competition Uncertainty: Overdispersion, distributional forecasting, GAMLSS and beyond.. In: International Journal of Forecasting (2021). doi:10.1016/j.ijforecast.2021.09.008CitationDetails
• Gonzalez, Paula; Brayshaw, David; Ziel, Florian: A new approach to subseasonal multi-model forecasting: Online prediction with expert advice.. In: Quarterly Journal of the Royal Meteorological Society (2021). doi:10.1002/qj.4177CitationDetails
• Rostami-Tabar, Bahman; Ziel, Florian: Anticipating special events in Emergency Department forecasting. In: International Journal of Forecasting (2021). doi:10.1016/j.ijforecast.2020.01.001Full textCitationDetails
• Narajewski, Michal; Kley-Holsteg, Jens; Ziel, Florian: tsrobprep – an R package for robust preprocessing of time series data.. In: SoftwareX, Vol 16 (2021). doi:10.1016/j.softx.2021.100809CitationDetails
• Christopher Kath, Florian Ziel: Conformal Prediction Interval Estimations with an Application to Day-Ahead and Intraday Power Markets. In: International Journal of Forecasting, Vol 37 (2021) No 2, p. 777-799. doi:10.1016/j.ijforecast.2020.09.006Full textCitationDetails
• Furtwängler, Christian; Weber, Christoph; Ziel, Florian: Uncertainties in Energy and Electricity Markets: An Introduction. In: Economics of Energy & Environmental Policy (2021). CitationDetails
• Kulakov, Sergei; Ziel, Florian: The impact of renewable energy forecasts on intraday electricity prices. In: Economics of Energy & Environmental Policy (2021). doi:10.5547/2160-5890.10.1.skulFull textCitationDetails
• Ziel, Florian: The energy distance for ensemble and scenario reduction. In: Philosophical Transactions A, Vol 379 (2021) No 2202. doi:10.1098/rsta.2019.0431Full textCitationDetails
• Narajewski, Michal; Ziel, Florian: Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories. In: Applied Energy (2020). doi:10.1016/j.apenergy.2020.115801Full textCitationDetails
• Kley-Holsteg, Jens; Ziel, Florian: Probabilistic Multi-Step-Ahead Short-Term Water Demand Forecasting with Lasso. In: Journal of Water Resources Planning and Management, Vol 146 (2020) No 10. doi:10.1061/(ASCE)WR.1943-5452.0001268Full textCitationDetails
• Muniain, Peru; Ziel, Florian: Probabilistic forecasting in day-ahead electricity markets: Simulating peak and off-peak prices. In: International Journal of Forecasting, Vol 36 (2020) No 4, p. 1193-1210. doi:10.1016/j.ijforecast.2019.11.006Full textCitationDetails
• Narajewski, Michal; Ziel, Florian: Changes in Electricity Demand Pattern in Europe Due to COVID-19 Shutdowns. In: IAEE Energy Forum (2020), p. 44-47. PDFFull textCitationDetails
• Ziel, Florian: Load Nowcasting: Predicting Actuals with Limited Data. In: Energies, Vol 13 (2020) No 6. doi:10.3390/en13061443PDFFull textCitationDetails
• Narajewski, Michal; Ziel, Florian: Econometric modelling and forecasting of intraday electricity prices. In: Journal of Commodity Markets, Vol 19 (2020) No 4. doi:10.1016/j.jcomm.2019.100107PDFFull textCitationDetails
• Narajewski, Michal; Ziel, Florian: Estimation and Simulation of the Transaction Arrival Process in Intraday Electricity Markets. In: Energies, Vol 12 (2019) No 23. doi:10.3390/en12234518PDFFull textCitationDetails
• Florian Ziel, Kevin Berk: Multivariate Forecasting Evaluation: On Sensitive and Strictly Proper Scoring Rules, 2019. Full textCitationDetails
• Sergei Kulakov, Florian Ziel: Determining the Demand Elasticity in a Wholesale Electricity Market. Full textCitationDetails
• Christopher Kath, Florian Ziel: The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts. In: Energy Economics, Vol 76 (2018), p. 411-423. doi:10.1016/j.eneco.2018.10.005Full textCitationDetails
• Florian Ziel, Rick Steinert: Probabilistic mid- and long-term electricity price forecasting. In: Renewable and Sustainable Energy Reviews, Vol 94 (2018), p. 251-266. doi:10.1016/j.rser.2018.05.038Full textCitationDetails
• Ziel, Florian: Quantile Regression for Qualifying Match of GEFCom2017 Probabilistic Load Forecasting. In: International Journal of Forecasting (2018). doi:10.1016/j.ijforecast.2018.07.004CitationDetails
• Rick Steinert, Florian Ziel: Short-to Mid-term Day-Ahead Electricity Price Forecasting Using Futures. In: The Energy Journal (2018). doi:10.5547/01956574.40.1.rsteCitationDetails
• Florian Ziel, Rafal Weron: Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. In: Energy Economics, Vol 70 (2018), p. 396-420. doi:10.1016/j.eneco.2017.12.016Full textCitationDetails
• Uniejewski, Bartosz; Weron, Rafal; Ziel, Florian: Variance Stabilizing Transformations for Electricity Spot Price Forecasting. In: IEEE Transactions on Power Systems, Vol 99 (2017) No 1. doi:10.1109/TPWRS.2017.2734563Full textCitationDetails
• Yunusov, Timur; Haben, Stephen; Lee, Tamsin; Ziel, Florian; Holderbaum, William; Potter, Ben: Evaluating the effectiveness of storage control in reducing peak demand on low voltage feeders. In: 24th International Conference & Exhibition on Electricity Distribution (CIRED). IET, 2017. doi:10.1049/oap-cired.2017.0626CitationDetails
• Ziel, Florian: Modeling the impact of wind and solar power forecasting errors on intraday electricity prices. In: 14th International Conference on the European Energy Market (EEM 2017). IEEE, 2017. doi:10.1109/EEM.2017.7981900Full textCitationDetails
• Ziel, Florian: Forecasting Electricity Spot Prices Using Lasso: On Capturing the Autoregressive Intraday Structure. In: IEEE Transactions on Power Systems, Vol 31 (2016) No 6, p. 4977-4987. doi:10.1109/TPWRS.2016.2521545Full textCitationDetails
• Florian Ziel, Rick Steinert: Electricity price forecasting using sale and purchase curves: The X-Model. In: Energy Economics, Vol 59 (2016), p. 435-454. doi:10.1016/j.eneco.2016.08.008Full textCitationDetails
• Ziel, Florian; Croonenbroeck, Carsten; Ambach, Daniel: Forecasting wind power - Modeling periodic and non-linear effects under conditional heteroscedasticity. In: Applied Energy, Vol 177 (2016), p. 285-297. doi:10.1016/j.apenergy.2016.05.111Full textCitationDetails
• Ziel, Florian: Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes. In: Computational Statistics & Data Analysis, Vol 100 (2016), p. 773-793. doi:10.1016/j.csda.2015.11.016Full textCitationDetails
• Florian Ziel, Bidong Liu: Lasso estimation for GEFCom2014 probabilistic electric load forecasting. In: International Journal of Forecasting, Vol 32 (2016) No 3, p. 1029-1037. doi:10.1016/j.ijforecast.2016.01.001Full textCitationDetails
• Ziel, Florian: Modelling and forecasting electricity load using lasso methods. In: Modern Electric Power Systems (MEPS), 2015. IEEE, 2016, p. 1-6. doi: 10.1109/MEPS.2015.7477217Full textCitationDetails
• Ziel, Florian; Steinert, Rick; Husmann, Sven: Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets. In: Energy Economics, Vol 51 (2015), p. 430-444. doi:10.1016/j.eneco.2015.08.005Full textCitationDetails
• Ziel, Florian: Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series. In: Steland, A.; Rafajłowicz, E.; Szajowski, K. (Ed.): Stochastic Models, Statistics and Their Applications. Springer Proceedings in Mathematics & Statistics. Springer, 2015, p. 207-214. doi:10.1007/978-3-319-13881-7_23Full textCitationDetails
• Ziel, Florian; Steinert, Rick; Husmann, Sven: Efficient modeling and forecasting of electricity spot prices. In: Energy Economics, Vol 47 (2015), p. 98-111. doi:10.1016/j.eneco.2014.10.012Full textCitationDetails

Talks:

• Ziel, Florian: Electricity Price Forecasting: Data Science Meets Fundamental Models, 6th Energy Finance Italia, 08.02.2023, Milan, Italy. Details
• Ziel, Florian: Multivariate CRPS Learning, 42th International Symposium on Forecasting (ISF2022), 13.07.2022, Oxford, UK. Details
• Ziel, Florian: CRPS Learning, RuhrMetrics Seminar 2022, 24.06.2022, Bochum, Germany. Details
• Ziel, Florian: Optimal Probabilistic Forecast Combination Using CRPS Learning, International Conference on Computational Finance (ICCF) 2022, 06.06.2022, Wuppertal, Germany. Details
• Ziel, Florian: Data Science Models Meet Fundamental Models: Modern Electricity Price Forecasting Approaches , Fundamental and Stochastic Models in Energy Systems (digital), 01.05.2022, Karlsruhe/Cottbus, Germany. Details
• Ziel, Florian: CRPS Learning, Energy Finance Seminar, 18.04.2022, Stolberg(Harz), Germany. Details
• Ziel, Florian: Western Power Distribution Data Challenge on Estimating Electric Vehicle Charger Demand, WPD Challenge #2 - Winner Presentation (digital), 15.03.2022, Bristol, UK. Details
• Ziel, Florian: The Impact of Renewable Energy Forecasts on Intraday Electricity Prices, IAEE Webinar (digital), 01.03.2022, New York, US. Details
• Ziel, Florian: High Resolution Peak Demand Estimation Challenge, WPD Challenge #1 - Winner Presentation (digital), 21.01.2022, Bristol, UK. Details
• Ziel, Florian: Optimal bidding on hourly and quarter-hourly day-ahead electricity price auctions: trading large volumes of power with market impact and transaction costs, EPF Seminar 2021 - Virtual Seminar, 06.05.2021, Wroclaw, Poland. Details
• Ziel, Florian: Optimal online aggregation and bias reduction: Combining electricity price forecasts across calibration windows, 40th International Symposium on Forecasting (ISF2020) - Virtual Conference, 26.10.2020, Rio, Brasil. Details
• Ziel, Florian: Integrated day-ahead and intraday self-schedule bidding for energy storages using approximate dynamic programming, Digital GOR Workshop, 07.10.2020, Bochum, Germany. Details
• Ziel, Florian: Forecasting Combination in Energy Forecasting, Strommarkttreffen - Machine Learning, 10.04.2020, Berlin, Germany (canceled due to COVID19). Details
• Ziel, Florian: Electricity Load Nowcasting, Energy Finance Seminar, 01.04.2020, Stolberg(Harz), Germany (canceled due to COVID19). Details
• Ziel, Florian: Hybrid methods for short-term electricity price forecasting, Vattenfall - Workshop on short term price forecasting, 25.03.2020, Hamburg, Germany (canceled due to COVID19). Details
• Ziel, Florian: Integrated day-ahead and intraday self-schedule bidding for energy storages using approximate dynamic program- ming, GOR Workshop, 11.03.2020, Bochum, Germany (canceled due to COVID19). Details
• Ziel, Florian: Estimation and simulation of the transaction arrival process in intraday electricity markets, Energy Finance Christmas Workshop 2019, 12.12.2019, Dublin, Ireland. Details
• Ziel, Florian: Stochastic/Statistical Modelling of Electricity Prices, Hybrid Modelling of Energy Systems, 14.11.2019, Karlsruhe, Germany. Details
• Ziel, Florian: Combined Portfolio Rules under Parameter Uncertainty, Energy Finance Seminar, 18.04.2019, Stolberg(Harz), Germany. Details
• Ziel, Florian: Load and price forecasting, TenneT, 10.04.2019, Bayreuth, Germany. Details
• Ziel, Florian: Determining the Demand Elasticity in a Wholesale Electricity Market, Finance & Stochastics Research Seminar, 20.03.2019, University of Sussex, Brighton, UK. Details
• Ziel, Florian: Multivariate Forecasting Evaluation: On Sensitive and Strictly Proper Scoring Rules, Data and Analytics for Short-Term Operations, 14.02.2019, Cambridge, UK. Details
• Ziel, Florian: Determining the Demand Elasticity in a Wholesale Electricity Market, Energy Finance Christmas Workshop 2018, 12.12.2018, Bozen/Bolzano, Italy. Details
• Ziel, Florian: Probabilistic load forecasting, Strommarkttreffen, 24.08.2018, Berlin. Details
• Ziel, Florian: Marginal-Copula-Scores for Multivariate Forecasting Evaluation, Stochastisches Kolloquium, 21.06.2018, Siegen, Germany. Details
• Ziel, Florian: The impact of renewable energy forecasts on intra-day electricity prices, Strommarkttreffen, 01.06.2018, Berlin. Details
• Ziel, Florian: Conformal Prediction Interval Estimations with an Application to Day-Ahead and Intraday Power Markets, Computational Management Science (CMS 2018), 30.05.2018, Trondheim, Norway. Details
• Ziel, Florian: Modeling of the non-linear impact of renewable energy forecasts on intra-day electricity prices, Energy Finance Seminar, 18.04.2018, Stolberg (Harz). Details
• Ziel, Florian: Modeling of the non-linear impact of renewable energy forecasts on intra-day electricity prices, Workshop on forecasting for renewable energy production, 02.02.2018, EDF, Paris, France. Details
• Ziel, Florian: Prognosen in Energiemärkten, Euroforum, 09.01.2018, Düsseldorf. Details
• Ziel, Florian: Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures., CMStatistics 2017: Stochastic modelling of energy markets, 16.12.2017, London, UK. Details
• Ziel, Florian: Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures., Energy Finance Christmas Workshop 2017, 14.12.2017, Cracow, Poland. Details
• Ziel, Florian: The Energy Transition in Germany: What we can learn from the past for the future., German-Arab Knowledge Transfer Colloquium on Water-Energy-Food Nexus: Energy Nexus, 28.11.2017, Duisburg. Details
• Ziel, Florian: Probabilistic Mid- and Long-Term Electricity Price Forecasting: A supply and demand curves based approach, 6th International Ruhr Energy Conference 2018 (INREC 2018), 01.09.2017, Essen. Details
• Ziel, Florian: Day-ahead electricity price forecasting with high-dimensional structures: Multi- vs. univariate modeling frameworks, ISF 2017, 37th International Symposium on Forecasting , 27.06.2017, Cairns, Australia. Details
• Ziel, Florian: Public Holidays in Energy Forecasting, ISAE, International Symposium on Energy Analytics, 22.06.2017, Cairns, Australia. Details
• Ziel, Florian: GEFCom2017, International Symposium on Energy Analytics, 22.06.2017, Cairns, Australia. Details
• Ziel, Florian: Electricity price forecasting using sale and purchase curves: The X-Model, IAEE 2017 40th Annual IAEE International Conference, 19.06.2017, Singapore. Details
• Ziel, Florian: Electricity Price Forecasting Using Supply and Demand Curves, Economics Colloquium, RUB, 14.06.2017, Bochum. Details
• Ziel, Florian: Modeling the impact of wind and solar power forecasting errors on intraday electricity prices, EEM2017 - 14 th International Conference on European Energy Market, 08.06.2017, Dresden. Details
• Ziel, Florian: Probabilistic Mid- and Long-Term Electricity Price Forecasting: A supply and demand curves based approach, Energy Finance Seminar, 19.04.2017, Stolberg (Harz). Details
• Ziel, Florian: Einführung in das Verständnis von Zeitreihen, Mathematik-Wettbewerb 12.Klasse, 30.03.2017, C.F.Gauß-Gymnasium Frankfurt(Oder). Details
• Ziel, Florian: Prognose von Strompreisen, IUTA, 23.03.2017, IUTA Duisburg. Details
• Ziel, Florian: On Proper Forecast Evaluation Based on the Energy Score and the Diebold-Mariano Test, S3-Seminar (Science meets Social Science), 16.03.2017, Wrolaw University of Technology. Details
• Ziel, Florian: Investigation of Short Term Load Forecasts of Low Voltage Level Substation Feeders and the Effects of Weather, 4th LV workshop: Demand analytics and control for networks support, 01.03.2017, Reading, UK. Details
• Ziel, Florian: Modelling and Forecasting of Electricity Load, 13th Workshop on Stochastic Models, Statistics and Their Applications, 24.02.2017, HU Berlin. Details
• Ziel, Florian: Electricity Price Forecasting using Sale and Purchase Curves: The X- Model, Strommarkttreffen - Thema: Strompreismodellierung, 10.02.2017, Innogy, Berlin. Details