Analysis of the SIDC market on relationship between auctions and continuous trading

2021 ◽  
Author(s):  
Andrea Alberizzi ◽  
Paolo Grisi ◽  
Alessandro Zani
Keyword(s):  
Continuous Trading

scholarly journals A Stochastic MPC Based Energy Management System for Simultaneous Participation in Continuous and Discrete Prosumer-to-Prosumer Energy Markets

Energies ◽  
2020 ◽  
Vol 13 (14) ◽  
pp. 3751
Author(s):  
Pablo Baez-Gonzalez ◽  
Felix Garcia-Torres ◽  
Miguel A. Ridao ◽  
Carlos Bordons
Keyword(s):  
Energy Management ◽  
Management System ◽  
Storage System ◽  
Energy Storage System ◽  
Energy Management System ◽  
Bidding Strategies ◽  
Production And Consumption ◽  
Optimal Bidding ◽  
Continuous Trading ◽  
Stochastic Model Predictive Control

This article studies the exchange of self-produced renewable energy between prosumers (and with pure end consumers), through the discrete trading of energy packages and proposes a framework for optimizing this exchange. In order to mitigate the imbalances derived from discrepancies between production and consumption and their respective forecasts, the simultaneous continuous trading of instantaneous power quotas is proposed, giving rise to a time-ahead market running in parallel with a real-time one. An energy management system (EMS) based on stochastic model predictive control (SMPC) simultaneously determines the optimal bidding strategies for both markets, as well as the optimal utilisation of any energy storage system (ESS). Simulations carried out for a heterogeneous group of agents show that those with SMPC-EMS achieve savings of between 3% and 15% in their energy operation economic result. The proposed structures allows the peer-to-peer (P2P) energy trading between end users without ESS and constitute a viable alternative to avoid deviation penalties in secondary regulation markets.

scholarly journals Intraday Markets for Power: Discretizing the Continuous Trading?

2016 ◽  
Author(s):  
Karsten Neuhoff ◽  
Nolan Ritter ◽  
Aymen Salah-Abou-El-Enien ◽  
Philippe Vassilopoulos
Keyword(s):  
Continuous Trading

scholarly journals Development of the stock exchange information system

2006 ◽  
Vol 16 (2) ◽  
pp. 265-284
Author(s):  
Radojko Miladinovic
Keyword(s):  
Information System ◽  
Project Management ◽  
Capital Market ◽  
Stock Exchange ◽  
International Standards ◽  
Software Project ◽  
Software Project Management ◽  
Exchange Information ◽  
Countries In Transition ◽  
Continuous Trading

The stock exchange represents the key institution for the development of capital market of any country. Thus the information system of every stock exchange must satisfy very strict international standards. The development of these systems is particularly difficult in countries in transition, due to intense economic and legal changes, lack of technical and financial resources, lack of experience and knowledge in the area of the capital market business, etc. Therefore the special software project management methodology for their realization must be clearly defined. In the development process of the Belgrade Stock Exchange (BSE) information system a new software project management methodology for its realization has been defined, the application of which is illustrated through a series of different development stages of the Belgrade Stock Exchange information system. In order to make all the problems more comprehensive, only the continuous trading method is described, being the most frequently used trading method in the world.

Intraday analysis of regulation change in microstructure: evidence from an emerging market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Eyup Kadioglu
Keyword(s):  
Trading Volume ◽  
Emerging Market ◽  
Lunch Break ◽  
Content Type ◽  
Call Auction ◽  
Regulation Change ◽  
Intraday Volatility ◽  
Continuous Trading ◽  
The Impact ◽  
Mixture Of Distribution Hypothesis

PurposeThis study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.Design/methodology/approachThe analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.FindingsThe results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.Research limitations/implicationsEnhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.Originality/valueThis very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.

The Cross-Sectional Spillovers of Single Stock Circuit Breakers

2018 ◽  
Vol 04 (03n04) ◽  
pp. 1950008
Author(s):  
James Brugler ◽  
Oliver Linton ◽  
Joseph Noss ◽  
Lucas Pedace
Keyword(s):  
Stock Exchange ◽  
Spillover Effect ◽  
Market Quality ◽  
Trading Costs ◽  
Circuit Breakers ◽  
Cross Sectional ◽  
Transaction Data ◽  
Continuous Trading ◽  
Do So

This paper uses transaction data to estimate how single stock circuit breakers on the London Stock Exchange affect other stocks that remain in continuous trading. This “spillover” effect is estimated by calculating the effect of a trading halt on the market quality of stocks that remain in continuous trading and comparing this with the effect of a stock whose absolute returns are of a magnitude nearly sufficient to trigger a trading halt but do not do so. Market quality is measured using a combination of trading costs, volatility and volume. In the two-month period we study, characterized by a relatively volatile trading environment, we find that circuit breakers lead to a significant improvement in the liquidity, and reduction in the volatility, of stocks that remain in continuous trading. This suggests that — at least over the period covered by our data — single stock circuit breakers can play an important role in reducing the spillover of poor market quality across stocks.

A NOTE ON UTILITY INDIFFERENCE PRICING

2016 ◽  
Vol 19 (06) ◽  
pp. 1650037
Author(s):  
JOHANNES GERER ◽  
GREGOR DORFLEITNER
Keyword(s):  
Utility Functions ◽  
Indifference Pricing ◽  
Market Incompleteness ◽  
Utility Indifference Pricing ◽  
Marginal Prices ◽  
Utility Indifference ◽  
Contingent Claim Pricing ◽  
The Many ◽  
Many Sources ◽  
Continuous Trading

Utility-based valuation methods are enjoying growing popularity among researchers as a means to overcome the challenges in contingent claim pricing posed by the many sources of market incompleteness. However, we show that under the most common utility functions (including CARA and CRRA), any realistic and actually practicable hedging strategy involving a possible short position has infinitely negative utility. We then demonstrate for utility indifference prices (and also for the related so-called utility-based (marginal) prices) how this problem leads to a severe divergence between results obtained under the assumption of continuous trading and realistic results. The combination of continuous trading and common utility functions is thus not justified in these methods, raising the question of whether and how results obtained under such assumptions could be put to real-world use.

Sign in / Sign up

Export Citation Format

Share Document