Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Souhir Ben Amor

Contact

E-mail:

benamors[at] hu-berlin.de

Souhir Ben Amor

 

Phone:

 

+49 17632695869 

Office:

Office hours:

Dorotheenstraße 1, Room 107

10.00–16.00t

Postal address:

School of Business and Economics
Humboldt-Universität zu Berlin
Unter den Linden 6
10099 Berlin, Germany

Actual Position

  • 2020- Today:Guest Researcher, High Dimensional Nonstationary Time Series, Humboldt-Universität zu Berlin, Germany

    Education

    • 2019: PhD in Quantitative Finance, Institute of High Commercial Studies of Sousse (IHEC)
, Tunisia
    • 2012: Master degree in “Modeling in Economic and Econometrics” Polytechnic Institute of Tunis, Tunisia
    • 2005: Bachelor degree in "Actuarial Science and Finance”, High Institute Commercial Studies of Sousse (IHEC), Tunisia

    Research Interests

    • Quantitative finance
    • Energy markets
    • Energy token and Blockchain Technology
    • CO2 emission and Climate change

    Teaching

    • 2021-2022: Statistics of Financial Markets (Winter Semester 22) School of Business and Economics, Humboldt-Universität zu Berlin, Germany
    • 2020-2021: Statistics of Financial Markets II (Summer Semester 21) School of Business and Economics, Humboldt-Universität zu Berlin, Germany
    • 2020-2021: Short courses on DEDA Digital Economy, BRC Blockchain Research Center, Humboldt-Universität zu Berlin, Germany
    • 2018-2019: Inferential Statistics, Financial Mathematics, International Finance, Time series Econometrics, High Institute of Commercial Studies of Sousse (IHEC), Tunisia
    • 2017-2018: Actuarial Science, Research Methodology, High Institute of Commercial Studies of Sousse (IHEC), Tunisia
    • 2016-2017: Econometrics, Introduction to Finance, Data Analysis with SPSS, Operational Research, University of Economics and Management of Sousse FSEG, Tunisia
    • 2015-2016: Introduction to Insurance, Business Statistics, University of Economics and Management of Sousse FSEG, Tunisia
    • 2014-2015: Descriptive statistics and probability, Mathematics, Faculty of Economics and Management of Sousse FSEG, Tunisia

    Publications

    • Ben Amor, S., Boubaker, H., and Belkacem, L. 2017. Forecasting Electricity Spot Price with Generalized Long Memory Modeling: Wavelet and Neural Network. International Journal of World Academy of Science, Engineering and Technology, Vol 11, N°9. doi.org/10.5281/zenodo.1315597
    • Ben Amor S, Boubaker H, Belkacem L. 2018. Forecasting electricity spot price for Nord Pool market with a hybrid k‐factor GARMA–LLWNN Model. Journal of Forecasting, 1-20. https://doi.org/10.1002/for.2544
    • Ben Amor, S., Boubaker, H., and Belkacem, L. 2018. Price Risk and Hedging Strategies in Nord Pool Electricity Market Evidence with sector Indexes. Energy Economics, V80, 635-655. https://doi.org/10.1016/j.eneco.2019.02.001.
    • Ben Amor, S., Boubaker, H., and Belkacem, L. 2017. Forecasting Electricity Spot Price with Generalized Long Memory Modeling: Wavelet and Neural Network. International Journal of World Academy of Science, Engineering and Technology, Vol 11, N°9. doi.org/10.5281/zenodo.1315597.

    • Ben Amor, S., Althof, M., and Härdle, W. K. (2021) “Financial Risk Meter FRM for Emerging Markets”. Research in International Business and Finance.

       

      Communications

       

    • 2021.10 “A Hybrid system for Electricity Price Forecasting: Efficiency or complexity?” The annual COST FinAI Meeting, Bucharest, Romania.

      2021.07 “A Hybrid system for Electricity Price Forecasting: Efficiency or complexity?” The 7th International Conference on Time Series and Forecasting (ITISE 2021), Gran Canaria (Spain)

      2021.07 “Financial Risk Meter FRM for Emerging Markets. International Conference Present Issues of Global Economy.  University of Constanta.

      2021.02 “Financial Risk Meter FRM for Emerging Markets”, Institute for Economic Forecasting, Romanian Academy; Bucharest University of Economics Studies.

      2020. 08 “Financial Risk Meter FRM for Emerging Markets”, Statistics of Machine Learning Conference, Academy of Sciences and Charles University, Prague, Czech Republic.

      2020. 07 "Predictive accuracy of a new hybrid generalized long memory wavelet-neural networks model for short term electricity price forecasting”. Science meets Social Science (S3) seminar Professor Rafał Weron, Wrocław University of Science and Technology.

      2019. 04 “Predictive Accuracy of a New Hybrid Generalized Long Memory Wavelet-Neural Networks Model for Short Term Electricity Price Forecasting”, 8th Applied Financial Modelling Conference, at Istanbul Sehir University, Istanbul, Turkey.

      2018. 12 “A Novel Hybrid Generalized Long Memory Wavelet Neural Network Model for Forecast Electricity Spot Price”. International Symposium on Economics, Finance and Econometrics, (ISEFE) Bandirma, Balikesir, Turkey.

      2018. 07 “Price Risk and Hedging Strategies in Nord Pool Electricity Market Evidence with sector Indexes”. 9th International Research Meeting in Business and Management (IRMBAM-2018), Nice, France.

      2017. 09 “A Dual Generalised Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate”, International Conference on Econometrics, Operational Research and Statistics, Paris, France, September 2017.

      2017. 05 “Forecasting electricity spot price for Nord Pool market with a hybrid k-factor GARMA-LLWNN model”, Forecasting Financial Market International Conference; Liverpool, United Kingdom.

      2017.05 “Forecasting electricity spot price for Nord Pool market with a hybrid k-factor GARMA-LLWNN model”, International Conference on Statistics and Econometrics, Mehdia, Tunisia.

       

      Download the codes and view live talks:
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