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Subject
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Algorithmic trading 2 Intraday power markets 2 Policy optimization 2 Stochastic optimization 2 Weather-based trading 2 Derivat 1 Derivative 1 Electronic trading 1 Elektronisches Handelssystem 1 Forecasting model 1 Mathematical programming 1 Mathematische Optimierung 1 Prognoseverfahren 1 Securities trading 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 Weather 1 Wertpapierhandel 1 Wetter 1
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Free 2
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Article 2
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
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English 2
Author
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Kuppelwieser, Thomas 2 Wozabal, David 2
Published in...
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OR Spectrum 1 OR spectrum : quantitative approaches in management 1
Source
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ECONIS (ZBW) 1 EconStor 1
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Intraday power trading : toward an arms race in weather forecasting?
Kuppelwieser, Thomas; Wozabal, David - In: OR spectrum : quantitative approaches in management 45 (2023) 1, pp. 57-83
Persistent link: https://www.econbiz.de/10014226371
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Cover Image
Intraday power trading: toward an arms race in weather forecasting?
Kuppelwieser, Thomas; Wozabal, David - In: OR Spectrum 45 (2022) 1, pp. 57-83
We propose the first speculative weather-based algorithmic trading strategy on a continuous intraday power market. The strategy uses neither production assets nor power demand and generates profits purely based on superior information about aggregate output of weather-dependent renewable...
Persistent link: https://www.econbiz.de/10015328849
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