ICMA Centre PhD Candidate awarded best paper prize at CEMA Awards 2018
An academic paper co-written by Georgi Slavov, Head of Research at Marex Spectron and ICMA Centre PhD Candidate, on Optimal Cross Border Electricity Trading has won the General Prize for the best paper at the highly prestigious Annual Commodity and Energy Markets Association meeting, held in Rome on 20-21 June. The other authors were Professor Alvaro Cartea, from the University of Oxford, and Professor Tiziano Vargiolu and Maria Flora from the University of Padova.
The paper studies the dynamics of cross-border intra-day European power flows between multiple locations and the reaction of price on such flows. We demonstrate successfully that:
- Electricity flows between interconnected grids to not only have a direct impact on price, where price spread between two locations reacts on electricity flows between these two location only, but also an indirect effect where electricity flow between two locations affect the price in a third location.
- The optimal trading strategy is based not only on trivial price spread arbitrage, observed between the selected interconnected locations, but also the impact on the spreads from the flow of electricity among them.
This paper is a valuable contribution to our understanding of the effects from the market coupling process on the wholesale European power sector. Market participants also benefit from the evidence that the optimal trading strategy is the one which is based not only on trivial price spread arbitrage observed between the selected interconnected locations, but also on the impact on the spreads from the flow of electricity among them.
Visit the the CEMA Awards for further information on the paper and prize.