Related papers: OrderFusion: Encoding Orderbook for End-to-End Pro…

We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk…

We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed…

Buying and selling stocks causes price changes, which are described by the price impact function. To explain the shape of this function, we study the Island ECN orderbook. In addition to transaction data, the orderbook contains information…

Electricity storage is used for intertemporal price arbitrage and for ancillary services that balance unforeseen supply and demand fluctuations via frequency regulation. We present an optimization model that computes bids for both arbitrage…

The increasing interest in demand-side management (DSM) as part of the energy cost optimization calls for effective methods to determine representative electricity prices for energy optimization and scheduling investigations. We propose a…

Pricing algorithms have demonstrated the capability to learn tacit collusion that is largely unaddressed by current regulations. Their increasing use in markets, including oligopolistic industries with a history of collusion, calls for…

Short-term electricity markets are becoming more relevant due to less-predictable renewable energy sources, attracting considerable attention from the industry. The balancing market is the closest to real-time and the most volatile among…

Continuous integration of renewable energy sources into power networks is causing a paradigm shift in energy generation and distribution with regards to trading and control; the intermittent nature of renewable sources affects pricing of…

Accurate and efficient imbalance electricity price forecasting is critical for industrial energy trading systems, especially as battery assets and automated bidding pipelines increasingly participate in balancing markets. However, real-time…

We explore nature of price formation in financial markets and develop a theory of bid and ask price dynamics in which the two prices form due to quantum-chaotic interaction between buy and sell orders. In this model bid and ask prices are…

We propose a new model for the level I of a Limit Order Book (LOB), which incorporates the information about the standing orders at the opposite side of the book after each price change and the arrivals of new orders within the spread. Our…

Accurate and reliable electricity price forecasting has significant practical implications for grid management, renewable energy integration, power system planning, and price volatility management. This study focuses on enhancing…

Securing necessary resources for edge computing processes via effective resource trading becomes a critical technique in supporting computation-intensive mobile applications. Conventional onsite spot trading could facilitate this paradigm…

Data clustering is an instrumental tool in the area of energy resource management. One problem with conventional clustering is that it does not take the final use of the clustered data into account, which may lead to a very suboptimal use…

Model Predictive Control (MPC) is typically characterized for being computationally demanding, as it requires solving optimization problems online; a particularly relevant point when considering its implementation in embedded systems. To…

Interconnecting price zones and remote renewable energy sources has emerged as a key solution to achieving climate goals. The objective of this work is to present a formulation that extends the base optimal power flow model with price zones…

Traditional pricing paradigms, once dominated by static models and rule-based heuristics, are increasingly being replaced by dynamic, data-driven approaches powered by machine learning algorithms. Despite their growing sophistication, most…

This paper consists of two parts. The first part is devoted to empirical analysis of consolidated order book (COB) for the index RTS futures. In the second part we consider Poissonian multi--agent model of the COB. By varying parameters of…

In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing.…

Blood transfusion is one of the most crucial and commonly administered therapeutics worldwide. The need for more accurate and efficient ways to manage blood demand and supply is an increasing concern. Building a technology-based, robust…