Statistical Arbitrage and Information Flow in an Electricity Balancing Market
31 Pages Posted: 22 Jan 2018
Date Written: January 14, 2018
We analyse the operational effects of market participants responding to price incentives for spillage and shortage positions in a single price, electricity balancing market. We consider optimal real-time decisions by generators and speculators based upon forecasts of the conditional distribution of the system imbalance and examine the effects of time delays for the consequent statistical arbitrage positions. We apply this to the Austrian imbalance settlement process within the German/Austrian integrated market. Results suggest that permitting additional intraday flexibility from a physical or a non-physical agent can be beneficial for the agents themselves, the system operator and market efficiency.
Keywords: Electricity, Real-time Markets, Trading, Forecasting, Statistical Arbitrage
JEL Classification: L94
Suggested Citation: Suggested Citation