• Corpus ID: 221761213

Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories

@article{Kath2020OptimalOE,
  title={Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories},
  author={Christopher Kath and Florian Ziel},
  journal={arXiv: Trading and Market Microstructure},
  year={2020}
}
Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this trend but is far from being well-researched. The underlying problem is a very complex one. Energy traders, producers, and electricity wholesale companies receive various position updates from customer businesses, renewable energy production, or plant outages… 
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