Intraday power trading: toward an arms race in weather forecasting?

DOI10.1007/S00291-022-00698-5MaRDI QIDQ6103186zbMATH OpenOpenAlexFDO

Authors Thomas Kuppelwieser, David Wozabal

Publication date 26 June 2023

Published in OR Spectrum (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00291-022-00698-5

zbMATH Keywords

algorithmic tradingintraday power marketspolicy optimizationstochastic optimizationweather-based trading

Mathematics Subject Classification ID

Financial markets (91G15) Optimal stochastic control (93E20)

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Cites work

• Bidding in sequential electricity markets: the Nordic case
• Intraday renewable electricity trading: advanced modeling and numerical optimal control
• Intraday renewable electricity trading: advanced modeling and optimal control
• Lectures on Stochastic Programming
• Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity
• Optimal operation of a CHP plant participating in the German electricity balancing and day-ahead spot market
• Stochastic short-term hydropower planning with inflow scenario trees
• Strategic offering of a flexible producer in day-ahead and intraday power markets
• The high-frequency trading arms race: frequent batch auctions as a market design response

Cited in

(2)

• The power of weather
• Recurrent double-conditional factor model

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