Simulation of trading strategies in the electricity market

Kamil Charkiewicz; Robert Nowak

doi:10.1117/12.903669

6 October 2011 Simulation of trading strategies in the electricity market

Kamil Charkiewicz, Robert Nowak

Proceedings Volume 8008, Photonics Applications in Astronomy, Communications, Industry, and High-Energy Physics Experiments 2011; 80080O (2011) https://doi.org/10.1117/12.903669
Event: Photonics Applications in Astronomy, Communications, Industry, and High-Energy Physics Experiments 2011, 2011, Wilga, Poland

Abstract

The main objective of the energy market existence is reduction of the total cost of production, transport and distribution of energy, and so the prices paid by terminal consumers. Energy market contains few markets that are varying on operational rules, the important segments: the Futures Contract Market and Next Day Market are analyzed in presented approach. The computer system was developed to simulate the Polish Energy Market. This system use the multi-agent approach, where each agent is the separate shared library with defined interface. The software was used to compare strategies for players in energy market, where the strategies uses auto-regression, k-nearest neighbours, neural network and mixed algorithm, to predict the next price.

Citation Download Citation

Kamil Charkiewicz and Robert Nowak "Simulation of trading strategies in the electricity market", Proc. SPIE 8008, Photonics Applications in Astronomy, Communications, Industry, and High-Energy Physics Experiments 2011, 80080O (6 October 2011); https://doi.org/10.1117/12.903669

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