E. (Ezgi) Avci Surucu MSc
Ezgi AVCI-SURUCU is a PhD candidate in the Department of Technology and Operations Management at Rotterdam School of Management. The topic of her PhD project is “Designing Smart Electricity Markets Using Data-Driven Approaches”. In her research project, she aims to understand decision making and strategic bidding behaviour in electricity markets based on complex big data and as a result to develop policy implications and market monitoring/analysis methods for policy makers, energy regulatory authorities and market participants. Ezgi received her B.Sc. degree with honours in Statistics (minor in Information Technologies Management) and her M.Sc. degree with honours in Industrial Engineering (thesis on data-mining methodologies) both from Middle East Technical University, Ankara, Turkey. Before she started her PhD she had 10+ years of industry and government experience as a project executive and consultant, especially in the energy sector on the following research areas: big data analytics, energy information systems, data-mining methods, machine learning algorithms, predictive analytics (Short/Mid/Long Term), sustainability modelling, market surveillance, utility analytics, heterogeneous agent based modelling , market balancing and settlement, strategy development, regulatory impact assessment, market efficiency analytics, econometric analysis and surveillance of energy markets.
PhD Track Surveillance of Complex Auction Markets: A Market Policy Analytics Approach
The dissertation consists of four essays that investigates the merits of big data-driven decision-making in the surveillance of complex auction markets. In the first essay, Avci and her co-researchers examine the aggregate-level bidding strategies and market efficiency in a multi-time tariff setting by using parametric and semi parametric methods. In the second essay, they address three key forecasting challenges; risk of selection of an inadequate forecasting method and transparency level of the market and market-specific multi-seasonality factors in a semi-transparent auction market. In the third essay, they demonstrate the effect of information feedback mechanisms on bidders’ price expectations in complex auction markets with the existence of forward contracts. They develop a research model that empirically tests the impact of bidders’ attitudes on their price expectation through their trading behavior and tested their hypotheses on real ex-ante forecasts, evaluated ex-post. In the fourth essay, they investigate characterization of bidding strategies in an oligopolistic multi-unit auction and then examine the interactions between different strategies and auction design parameters. This dissertation offers important implications to theory and practice of surveillance of complex auction markets. From the theoretical perspective, this is, to our best knowledge, the first research that systematically examines the interplay of different informational and strategic factors in oligopolistic multi-unit auction markets. From the policy perspective, Avci’s research shows that integration of big data analytics and domain-specific knowledge improves decision-making in surveillance of complex auction markets.
- Market Microstructure, Online Auctions, Big Data Analytics, Time Series Analysis and Forecasting, Decision Support Systems, Behavioral Finance
- Time frame
- 2016 -
E. Avci Surucu, D.W. Bunn, W. Ketter & E. van Heck (2017). Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion. In Commodity and Energy Markets Conference, Oxford, UK
E. Avci Surucu, D.W. Bunn, W. Ketter & E. van Heck (2017). Price Forecast Accuracy of Trading Agents in Electricity Markets: The Role of Market Informedness, Risk Aversion, and Trading Behaviour. In 40th IAEE International Conference, Singapore
E. Avci Surucu, E. van Heck & W. Ketter (2017). Forecasting prices in electricity day-ahead auctions: An overview of the Turkey market. In 5th International Symposium on Environment and Energy Finance Issues (ISEFI-2017), Paris, FRANCE
E. Avci Surucu, K. Aydogan & D. Akgul (2016). Bidding structure, market efficiency and persistence in a multi-time tariff setting. Energy Economics, 54, 77-87. doi: http://dx.doi.org/10.1016/j.eneco.2015.10.017
E. Avci Surucu (2015). A note on Electricity Market Monitoring Indexes. In 27th European Conference on Operational Research, Energy Markets / Systems Modelling, Glasgow, SCOTLAND
E. Avci Surucu, K. Aydogan & D. Akgul (2015). Bidding structure, market efficiency and persistence in multi time tariff zones. In 55th EWGCF, Euro Working Group for Commodities and Financial Modelling Conference
E. Avci Surucu (2015). Developing efficient energy market surveillance tools. In 35th Operations Research and Industrial Engineering Congress, Energy Markets
E. Avci Surucu, K. Aydogan & D. Akgul (2014). Analysing Fractal Dynamics of Day Ahead Electricity Prices for Multi-time Tariff Zones: An Indicator for Market Efficiency in Electricity Markets. In 4th Energy Finance Conference, Erice, ITALY
E. Avci Surucu (2014). On the Sustainability of Electricity Market Development Strategies: Evidence from an Emerging Market. In 54th EWGCF, Euro Working Group for Commodities and Financial Modelling Conference, Milano / ITALY
E. Avci Surucu (2018, mei 25). Surveillance of Complex Auction Markets: a Market Policy Analytics Approach. EUR Prom./coprom.: prof.dr. W. Ketter, Prof.Dr.Ir. H.W.G.M. van Heck & Prof.Dr. D.W. Bunn.
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