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Matsumoto Lab
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A lab that forecasts electricity market prices and manages risk using financial methods.
AboutAbout the lab
Risk management and market design supporting the future of energy.
The Matsumoto Lab studies risk management and market design in energy markets.
The lab builds forecasting models for time series data such as electricity demand, solar power generation, and electricity prices.
Based on these forecasts, the lab designs financial products such as weather derivatives and explores ways to reduce the risk of price fluctuations.
As distributed energy resources such as renewable energy and storage batteries become more widespread, the lab also works on how to design market mechanisms.
Key terms
- Time series data
- Time series data: data arranged along the flow of time, with values recorded at each point in time, such as electricity demand or prices
- Weather derivatives
- Weather derivatives: financial products whose payouts are determined by weather indicators such as temperature or solar radiation, used to offset losses caused by the weather
- Distributed energy resources
- Distributed energy resources: small power sources placed close to where electricity is used, such as solar power generation, storage batteries, and electric vehicles
NewsLab news
Forecast data on electricity demand and renewable power generation released
Paper on hedging shape risk in renewable energy published in Energies
Associate Professor Matsumoto conducts joint research at the University of Duisburg-Essen
Storage battery operation simulator released
ResearchResearch themes
The lab studies mathematical models that forecast prices and demand in energy markets, including electricity, and risk management methods that make use of those forecasts. Using techniques from financial engineering, operations research, and data science, it aims to achieve efficiency, stability, and decarbonization at the same time.
*Illustrative imageForecasting time series data
The lab develops forecasting models for various types of time series data, such as electricity demand, solar power generation, and electricity prices. By combining statistical methods with machine learning, it works to improve the accuracy of existing models.
*Illustrative imageRisk management and decision-making
To reduce the risk caused by market fluctuations, the lab develops financial products known as futures and derivatives and studies the mechanisms of hedging transactions. It also works on designing weather derivatives, whose payouts are linked to factors such as temperature.
*Illustrative imageAnalysis of energy markets
The lab analyzes the factors that move electricity spot prices and the risk premium in electricity futures markets. It also addresses decision-making problems in trading, such as arbitrage between markets and the optimal operation of storage batteries.
*Illustrative imageMarket design for distributed energy
With a view to power grids that will take in large amounts of renewable energy, storage batteries, and electric vehicles, the lab studies how markets should be structured. It is examining the design of derivatives that can be used at fine time and regional resolutions, and of systems that make efficient use of distributed energy resources.
MembersFaculty
The members of the Matsumoto Lab consist of faculty and students in the Professional Degree Program in Management of Technology and the doctoral program.
- Associate ProfessorTakuji MatsumotoPublications ↗
VoicesStudent voices
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Report an errorAbout the images
The top and research theme images are illustrative and were not taken at the lab. They are cropped from Wikimedia Commons images. Cropped CC BY-SA images are provided under the same CC BY-SA license as the original (version shown on each line).
- Top image: “Transmission towers at sunset in East Texas” Matthew T Rader / CC BY-SA 4.0 (cropped)
- Forecasting time series data: “Solar Power Plant Keetmanshoop” Hp.Baumeler / CC BY-SA 4.0 (cropped)
- Risk management and decision-making: “Charterhall Met Office Weather Station Anemometer ^ Wind Vane - geograph.org.uk - 2754881” James T M Towill / CC BY-SA 2.0 (cropped)
- Analysis of energy markets: “Barrow Offshore wind turbines NR” Original: Andy Dingley; Edit: Muhammad / CC BY-SA 3.0 (cropped)
- Market design for distributed energy: “Qinghai lake.eole and elios village” Popolon / CC BY-SA 3.0 (cropped)
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