E. (Ezgi) Avci Surucu

RSM - Rotterdam School of Management
Erasmus University Rotterdam
ERIM Doctoral Student
Field: Logistics & Information Systems
Affiliated since 2016

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.

 

Designing Smart Electricity Markets Using Data-driven Approaches

The past two decades have seen an explosion of digital data in every sector of the global economy. Such a revolution from data scarcity to data abundance brings great opportunities for decision makers in every area. The increased accessibility of data has enabled a different way of making decisions that involves more empirical evidence rather than personal experience, intuition, or belief. In this research, we focus on the value of data-driven decision making at market level and seek to illustrate and quantify its benefits in the design and operationalization of electricity markets. Electricity day ahead auctions play a key role in the decision making process of power agents. Over the past decades, Information Systems researchers have made significant contributions to practical auction design by investigating different bidding strategies and price dynamics in real-world auctions. This PhD Project will contribute to this growing literature on design of auctions, trading strategies and strategic bidding in auctions. Our first study aims to understand agent-level determinants of price expectation formation in electricity day ahead auctions. More specifically, we answer the following question: How does an agent’s trading behaviour, market informedness and risk aversion effect his price expectation bias? In the second study we focus on tactical decision making for trading between electricity day-ahead and real-time auctions through modelling the risk premium. The third study explores heterogeneous bidding strategies in electricity day-ahead auctions using a unique and big data set. To address these research questions, we adopt a multi-method approach which consists of survey design, econometric time series models and data-mining methodologies.

Keywords
Smart Markets, Energy Markets, Market Efficiency, Data-Driven Decision Making, Electricity Day-Ahead Auctions, Agents, Auction Design, Bidding Strategy, Bidder Taxonomy, Real-time Regulating Markets, Regulating Premium, Trading Inefficiency, Rational Expectations Hypothesis, Market Informedness, Risk Aversion, Hedging, Forecast Accuracy, Price Forecasting
Time frame
2016 -
  • Avci Surucu, E., Bunn, D.W., Ketter, W. & van Heck, E. (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.
  • Avci Surucu, E., Bunn, D.W., Ketter, W. & van Heck, E. (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.
  • Avci Surucu, E., van Heck, E. & Ketter, W. (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.
  • Avci Surucu, E., Aydogan, K. & Akgul, D. (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
  • Avci Surucu, E. (2015). A note on Electricity Market Monitoring Indexes. In 27th European Conference on Operational Research, Energy Markets / Systems Modelling, Glasgow, SCOTLAND.
  • Avci Surucu, E., Aydogan, K. & Akgul, D. (2015). Bidding structure, market efficiency and persistence in multi time tariff zones. In 55th EWGCF, Euro Working Group for Commodities and Financial Modelling Conference.
  • Avci Surucu, E. (2015). Developing efficient energy market surveillance tools. In 35th Operations Research and Industrial Engineering Congress, Energy Markets.
  • Avci Surucu, E., Aydogan, K. & Akgul, D. (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.
  • Avci Surucu, E. (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.

Address

Visiting address

Office: Mandeville Building T10-54
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Latest publication

Avci Surucu, E., Bunn, D.W., Ketter, W. & van Heck, E. (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.

Supervisory team

Ezgi Avci Surucu
Professor of Next Generation Information Systems
Promotor
Ezgi Avci Surucu
Professor of Information Management and Markets
Promotor
Ezgi Avci Surucu
Derek Bunn
Co-Promotor