Statistical Arbitrage and Information Flow in an Electricity Balancing Market
受英国2015年电力现货交易规则变更启发，研究了市场参与者对实时市场溢出和短缺价格激励的反应，建立了基于系统不平衡预测的最优决策模型，并实证检验了奥地利市场，发现增加日内灵活性对各方均有益。
Motivated by the events following a natural experiment in 2015, when the market rules for electricity spot trading were changed in Britain, we analyse the operational effects of market participants responding to price incentives for spillage and shortage positions in a single price, real-time market. We develop an analytical model for optimal real-time decisions by generators and speculators based upon forecasts of the conditional distribution of the total system imbalance between instantaneous supply and demand. From this, we examine the effects of time delays in information transparency for the consequent statistical arbitrage positions. We backtested this model empirically to the Austrian system imbalance settlements process within the German/Austrian integrated market. Results suggest that permitting additional intraday flexibility from a physical generator or a non-physical trader can be beneficial for the agents themselves, the system operator and market efficiency.