Peter Kosater studied economics and holds a PhD from the University of Cologne. In his PhD thesis he focussed on the application of nonlinear time series methods in power spot price modelling and the field of weather derivatives. He started his professional career after finishing the PhD at the EEX in the market development department followed by an employment with EnBW Trading where he first worked as power analyst and later on joined the department of methods and models. Nowadays he works at the municipal utility Stadtwerke Lübeck as quantitative analyst and is responsible, among other things, for the provision of models and tools regarding pricing of retail contracts and PPAs.
A two-stage nonlinear approach for modeling hourly spot power prices with an application to spot market risk valuation of the power yield of a solar array in Germany
This paper combines a seasonal autoregressive moving average model with a Markov regime-switching model approach for power spot prices, allowing intraday and weekly seasonalities to be incorporated.