Abstract: Motivated by the events following a natural experiment in 2015, when the market rules for electricity spot trading were changed in Britain, we analyse the operational effects of market participants responding to price incentives for spillage and shortage positions in a single price, real-time market. We develop an analytical model for optimal real-time decisions by generators and speculators based upon forecasts of the conditional distribution of the total system imbalance between instantaneous supply and demand. From this, we examine the effects of time delays in information transparency for the consequent statistical arbitrage positions. We backtested this model empirically to the Austrian system imbalance settlements process within the German/Austrian integrated market. Results suggest that permitting additional intraday flexibility from a physical generator or a non-physical trader can be beneficial for the agents themselves, the system operator and market efficiency.

中文翻译：

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电力平衡市场中的统计套利和信息流

摘要：受 2015 年英国电力现货交易市场规则改变后的自然实验事件的启发，我们分析了市场参与者对单一价格、实际价格中溢出和短缺头寸的价格激励做出反应的操作效果。时间市场。我们基于对瞬时供需之间总系统不平衡的条件分布的预测，为生成器和投机者的最佳实时决策开发了一个分析模型。由此，我们研究了信息透明度的时间延迟对后续统计套利头寸的影响。我们在德国/奥地利一体化市场内对奥地利系统不平衡解决过程进行了实证回溯测试。