Alvaro Cartea (University of Oxford)
Speculative Trading of Electricity Contracts in Interconnected Locations
Abstract:
We derive an investor’s optimal trading strategy of electricity contracts traded in two locations joined by an interconnector. The investor employs a price model which includes the impact of her own trades. The investor’s trades have a permanent impact on prices because her trading activity affects the demand of contracts in both locations. Additionally, the investor receives prices which are worse Read more [...]
