Algorithmic Bidding for Virtual Trading in Electricity Markets

@article{Baltaoglu2019AlgorithmicBF,
  title={Algorithmic Bidding for Virtual Trading in Electricity Markets},
  author={Sevi Baltaoglu and Lang Tong and Qing Zhao},
  journal={IEEE Transactions on Power Systems},
  year={2019},
  volume={34},
  pages={535-543}
}
We consider the problem of optimal bidding for virtual trading in two-settlement electricity markets. A virtual trader aims to arbitrage on differences between day-ahead and real-time market prices that are random and unknown to market participants. An online learning algorithm is proposed to maximize the cumulative payoff over a finite number of trading sessions by allocating the trader's budget among his bids for $K$ options in each session. It is shown that the expected payoff of the… 

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