• Corpus ID: 239016556

Optimal bidding in hourly and quarter-hourly electricity price auctions: trading large volumes of power with market impact and transaction costs

@inproceedings{Narajewski2021OptimalBI,
  title={Optimal bidding in hourly and quarter-hourly electricity price auctions: trading large volumes of power with market impact and transaction costs},
  author={Michał Narajewski and Florian Ziel},
  year={2021}
}
Electricity exchanges offer several trading possibilities for market participants: derivative products like futures, the spot market consisting of auctions and continuous trading, and balancing markets. This variety of choice creates a new question for traders – when and how much to trade to maximize the profit. When trading larger volumes this problem gets particularly important as such trades influence the prices substantially. The following paper raises this issue considering two markets… 

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