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Trading Strategy: A Case Study on the Day-Ahead and Week-Ahead Electricity Prices

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Trading mechanisms in over-the-counter markets

Sebastian Vogel

In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...

EPFL2020

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage ...

2020

We consider multi-agent decision making where each agent's cost function depends on all agents' strategies. We propose a distributed algorithm to learn a Nash equilibrium, whereby each agent uses only obtained values of her cost function at each joint play ...

IEEE2019

Exploring the interoperability of remote GPGPU virtualization using rCUDA and directive-based programming models

Directive-based programming models, such as OpenMP, OpenACC, and OmpSs, enable users to accelerate applications by using coprocessors with little effort. These devices offer significant computing power, but their use can introduce two problems: an increase ...

SPRINGER2018

SCCER-FURIES - Determination of the flexibilisation potential of the electricity demand. ReEL D114b

Lionel Benjamin Bloch, Jordan Holweger

The mismatch between household electricity consumption and solar energy production is a key issue for the fast deployment of this technology in a low-voltage grid. Namely, as high photovoltaic generation occurs during the day while the load remains low, th ...

2018

Economic Advantages of Office Buildings Providing Ancillary Services with Intraday Participation

Colin Neil Jones, Ioannis Lymperopoulos, Faran Ahmed Qureshi, Ali Ahmadi Khatir

Controlling the consumption profile of office buildings can be used to provide balancing services to the power grid at a financial benefit without violating its thermal comfort constraints. The economic advantage of such a service is a reduction in the tot ...

2018

Capital goods, measured TFP and growth: The case of Spain

Luis Franjo Garcia

The effect of investing in equipment and/or structures on TFP and long run growth is investigated here. We argue that economies can grow in spite of stagnant TFP if the investment rate is inefficiently high. We study the case of Spain where real GDP per wo ...

Elsevier Science Bv2016

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

Vincent Jean Bogousslavsky

A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday r ...

Wiley-Blackwell2016

Strategic energy planning for large-scale energy systems: A modelling framework to aid decision-making

François Maréchal, Daniel Favrat, Stefano Moret, Victor Codina Gironès

Concerns related to climate change and security of energy supply are pushing various countries to make strategic energy planning decisions. This requires the development of energy models to aid decision- making. Large scale energy models are often very com ...

2015

Attitudes to Distance, Time and Cost in Logit Transport Choice Models

Matthieu Marie Cochon de Lapparent

During the last 20 years, a distance variable has sometimes been added to specifications of Logit utility functions that already included travel time and cost variables long assumed in theory and practice to embody the impeding effect of distance on transp ...

2015