High-frequency trading on electricity markets
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Estadístiques de LA Referencia / Recolecta
Inclou dades d'ús des de 2022
Cita com:
hdl:2117/117515
Tipus de documentProjecte Final de Màster Oficial
Data2018-04-27
Condicions d'accésAccés obert
Llevat que s'hi indiqui el contrari, els
continguts d'aquesta obra estan subjectes a la llicència de Creative Commons
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Reconeixement-NoComercial-SenseObraDerivada 3.0 Espanya
Abstract
The high penetration of wind based electricity production has a notable effect on the
electricity market prices in Germany. It is important to properly integrate the high level
of wind generation into the liberalised electricity markets in order to make them more
competitive and representing the actual costs.
Two markets, the German EPEX Day-ahead Spot and the Intraday Continuous can
hold potential arbitrages between them.
This thesis is aiming to investigate nature of the listed markets and their trading
opportunities.
Firstly, a testing method is introduced and applied on the markets to justify the search
of arbitrage.
Secondly, the correlation of the actual wind generation and forecasts regarding to the
market pricing is investigated. Thirdly, the intraday continuous market’s order book is
analysed in regards of trading potentials.
Lastly, strategy development steps are introduced in order to create profitable trading
strategies between the day-ahead and intraday continuous markets.
The goal of this thesis is to investigate and provide a guide for the creation of such
trading algorithms. Hopefully, this thesis can provide a good start, justification and
viewpoint for further projects on this topic.
TitulacióMÀSTER UNIVERSITARI EN ENGINYERIA DE L'ENERGIA (Pla 2013)
Col·leccions
Fitxers | Descripció | Mida | Format | Visualitza |
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akos-baldauf-thesis-final.pdf | 2,514Mb | Visualitza/Obre |