Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866917104429563904 |
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| author | Chatziandreou, Konstantinos Karbach, Sven |
| author_facet | Chatziandreou, Konstantinos Karbach, Sven |
| contents | This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electricity market, the model effectively captures key empirical features, including intra-session volatility, distinct intraday market activity patterns, and the Samuelson effect as gate closure approaches. By integrating a transient price impact model with a bivariate Hawkes process to model the market order flow, we derive an optimal trading trajectory for energy companies managing large volumes, accounting for the specific trading patterns in these markets. A back-testing analysis compares the proposed strategy against standard benchmarks such as Time-Weighted Average Price (TWAP) and Volume-Weighted Average Price (VWAP), demonstrating substantial cost reductions across various hourly trading products in intraday energy markets. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2504_10282 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact Chatziandreou, Konstantinos Karbach, Sven Trading and Market Microstructure 49J15, 91G80 This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electricity market, the model effectively captures key empirical features, including intra-session volatility, distinct intraday market activity patterns, and the Samuelson effect as gate closure approaches. By integrating a transient price impact model with a bivariate Hawkes process to model the market order flow, we derive an optimal trading trajectory for energy companies managing large volumes, accounting for the specific trading patterns in these markets. A back-testing analysis compares the proposed strategy against standard benchmarks such as Time-Weighted Average Price (TWAP) and Volume-Weighted Average Price (VWAP), demonstrating substantial cost reductions across various hourly trading products in intraday energy markets. |
| title | Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact |
| topic | Trading and Market Microstructure 49J15, 91G80 |
| url | https://arxiv.org/abs/2504.10282 |