Technical paper/Energy trading
Analyzing the impact of energy prices on US stock market volatility
Using data from January 1986 to December 2023, the authors explore the time-varying impact of energy prices on the US stock market.
Energy trading efficiency in ERCOT’s day-ahead and real-time electricity markets
Directional predictability between returns and trading volume in the futures markets of energy: insights into traders’ behavior
Addressing competitiveness of emissions-intensive and trade-exposed sectors: a review of Alberta's carbon pricing system
Decentralized bottom-up energy trading using Ethereum as a platform
In this paper, the simulated environment of a hierarchical energy trading market using Ethereum’s smartcontract technology is created as a proof-of-concept of using blockchain technology in energy trading.
Pricing fast-responding electric storage assets in the presence of negative prices and price spikes: a simulation-and-regression approach
This study focuses on the use of batteries for real-time power trading and proposes a simulation-and-regression-based valuation model.
Applied risk management series: Counterparty risk exposure metrics
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
Quant ideas: Liquidity in commodity risk management
Liquidity plays a vastly underappreciated role in commodity markets
Storage strategies
Rankings 2004
Operational and market risks of a regulated power utility
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk.
Breaking down the model
Brett Humphreys and Andy Dunn outline a method to help energy companies minimise potential model risk and thereby avoid costly errors in valuing deals.