paper
Virtual Trading in Multi-Settlement Electricity Markets
Agostino Capponi, Garud Iyengar, Bo Yang, Daniel Bienstock
Virtual Trading in Multi-Settlement Electricity Markets
Agostino Capponi, Garud Iyengar, Bo Yang, Daniel Bienstock
paper2025-08-16English
algorithmic tradingarxiv
Description
In the Day-Ahead (DA) market, suppliers sell and load-serving entities (LSEs) purchase energy commitments, with both sides adjusting for imbalances between contracted and actual deliveries in the Real-Time (RT) market. We develop a supply function equilibrium model to study how virtual trading-speculating on DA-RT price spreads without physical delivery-affects market efficiency. Without virtual trading, LSEs underbid relative to actual demand in the DA market, pushing DA prices below expected R...
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