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Seminario Dottorato: “Optimal cross-border electricity trading”

Wednesday 28 February 2018, h. 15:00 - Room 2BC30 - Maria Flora

ARGOMENTI: Seminari Dottorato

Wednesday 28 February 2018 h. 15:00, Room 2BC30
Maria Flora (Padova, dSEA)
“Optimal cross-border electricity trading”

Abstract
Using econometric tools, we show statistical evidence of cross-effects on the price of electricity in neighbouring countries, due to electricity flows across interconnected locations. We build on this result to set up an optimal trading strategy, based not only on the price spreads observed over time among the selected interconnected countries, but also on the market impacts caused by the flows of electricity among them. Using the previous econometric analysis findings, we model the joint dynamics of electricity prices as including both temporary and permanent impacts of electricity trades, as well as driven by a common co-integration factor. We then pose an optimal control problem, and solve the resulting dynamic programming equation up to a system of Riccati equations, which we solve numerically to evaluate the performance of the strategy. We show that including cross-border effects in the trading strategy specification significantly improves the performance.

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