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In this work, we investigate the market-making problem on a trading session in which a continuous phase on a limit order book is followed by a closing auction. Whereas standard optimal market-making models typically rely on terminal…
This paper proposes a market mechanism for multi-interval electricity markets with generator and storage participants. Drawing ideas from supply function bidding, we introduce a novel bid structure for storage participation that allows…
In electricity systems supplied by renewable energy sources (RES), storage operators shift energy across time, helping maintain system adequacy. However, characterizing their strategic role and identifying the conditions under which…
This paper presents a novel model for simulating and analyzing sparse limit order books (LOBs), with a specific application to the European intraday electricity market. In illiquid markets, characterized by significant gaps between order…
This paper proposes a novel energy storage price arbitrage algorithm combining supervised learning with dynamic programming. The proposed approach uses a neural network to directly predicts the opportunity cost at different energy storage…
Deep Q-learning is investigated as an end-to-end solution to estimate the optimal strategies for acting on time series input. Experiments are conducted on two idealized trading games. 1) Univariate: the only input is a wave-like price time…
This paper introduces and rationalizes a new model for bidding and clearing energy storage resources in wholesale energy markets. Charge and discharge bids in this model depend on the storage state-of-charge (SoC). In this setting, storage…
Considering the sequential clearing of energy and reserves in Europe, enabling inter-area reserve exchange requires optimally allocating inter-area transmission capacities between these two markets. To achieve this, we provide a…
In stock trading, feature extraction and trading strategy design are the two important tasks to achieve long-term benefits using machine learning techniques. Several methods have been proposed to design trading strategy by acquiring trading…
High shares of variable renewable energy necessitate substantial energy storage capacity. However, it remains unclear how to design a market that, on the one hand, ensures a stable and sufficient income for storage firms, and, on the other…
In real time electricity markets, the objective of generation companies while bidding is to maximize their profit. The strategies for learning optimal bidding have been formulated through game theoretical approaches and stochastic…
Hydro storage system optimization is becoming one of the most challenging tasks in Energy Finance. While currently the state-of-the-art of the commercial software in the industry implements mainly linear models, we would like to introduce…
This study investigates two models of varying complexity for optimizing intraday arbitrage energy trading of a battery energy storage system using a model predictive control approach. Scenarios reflecting different stages of the system's…
This paper studies the problem of stochastic dynamic pricing and energy management policy for electric vehicle (EV) charging service providers. In the presence of renewable energy integration and energy storage system, EV charging service…
We focus on the problem of market making in high-frequency trading. Market making is a critical function in financial markets that involves providing liquidity by buying and selling assets. However, the increasing complexity of financial…
The emerging cryptocurrency market has lately received great attention for asset allocation due to its decentralization uniqueness. However, its volatility and brand new trading mode have made it challenging to devising an acceptable…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitable make-take fees policy to attract transactions on its venues. We first solve the stochastic…
This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electricity market, the model effectively captures key empirical…
With the rapid development of distributed energy resources, increasing number of residential and commercial users have been switched from pure electricity consumers to prosumers that can both consume and produce energy. To properly manage…