Journal article

Optimal cross-border electricity trading

Abstract:: We show there exists a profitable cross-border trading strategy for an agent who trades electricity in the European electricity network. Data of the European markets are employed to show how electricity prices in all locations of the network are affected by the flow of power between any two locations that trade power between them. The optimal cross-border trading strategy is derived via the explicit solution of a non-trivial stochastic control problem in which prices at different locations are co-integrated and trading affects prices in all locations of the network.

Publication status:: Published

Peer review status:: Peer reviewed

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APA Style

Cartea, A., Flora, M., Slavov, G., & Tiziano, V. (2022). Optimal cross-border electricity trading. SIAM Journal on Financial Mathematics, 13(1), 262–294.

MLA Style

Cartea, A., et al. “Optimal Cross-Border Electricity Trading.” SIAM Journal on Financial Mathematics, vol. 13, no. 1, Society for Industrial and Applied Mathematics, 2022, pp. 262–94.

Chicago Style

Cartea, A, M Flora, G Slavov, and V Tiziano. 2022. “Optimal Cross-Border Electricity Trading.” SIAM Journal on Financial Mathematics 13 (1): 262–94.
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Files:: Cartea_et_al_2021_multiple_cross_border.pdf

(Preview, Accepted manuscript, pdf, 1.1MB, Terms of use)

Publisher copy:: 10.1137/21M1398537

Authors

+ Cartea, A More by this author

Institution:: University of Oxford
Division:: MPLS
Department:: Mathematical Institute
Role:: Author
ORCID:: 0000-0002-7426-4645

+ Flora, M More by this author

Role:: Author

+ Slavov, G More by this author

Role:: Author

+ Tiziano, V More by this author

Role:: Author

Publisher:: Society for Industrial and Applied Mathematics
Journal:: SIAM Journal on Financial Mathematics More from this journal
Volume:: 13
Issue:: 1
Pages:: 262 - 294
Publication date:: 2022-03-14
Acceptance date:: 2021-12-14
DOI:: 10.1137/21M1398537
ISSN:: 1945-497X

Language:: English
Keywords:: FFR
Pubs id:: 1224934
Local pid:: pubs:1224934
Deposit date:: 2021-12-15

Terms of use

Copyright holder:: Society for Industrial and Applied Mathematics
Copyright date:: 2022
Rights statement:: © 2022, Society for Industrial and Applied Mathematics.
Notes:: This is the accepted manuscript version of the article. The final version is available online from Society for Industrial and Applied Mathematics at: https://doi.org/10.1137/21M1398537

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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