Stochastic optimization of trading strategies in sequential electricity markets
Emil Kraft, Marianna Russo, Dogan Keles, Valentin Bertsch
Topics & Concepts
Electricity marketVolatility (finance)Stochastic programmingTrading strategyExpected shortfallEconomicsPortfolioMarket riskEconometricsElectricityFinancial economicsStatisticsEngineeringMathematicsElectrical engineeringElectric Power System OptimizationEnergy Load and Power ForecastingCapital Investment and Risk Analysis