In this master thesis, a model is proposed to enable profitable market participation of wind power plants considering the availability of second-party owned energy storage. A novel concept of storage capacity reservations is presented using which the wind power producer hedges against wind outcomes which are unfavourable with respect to its day-ahead market bids. The idea that wind power produc...

During the latest episode of general election held in Malaysia, it is observed that the FBMKLCI index was lifted 62.52 points in a day soon after the announcement of election outcome. Moreover, the index registered a highest gain of 96.29 points in the middle of the intra-day trade. This suggests that investors who had got the right direction could make profitable intra-day trading the next tra...

A price pressure effect is implied by segmentation in the market for a security. An empirical property of a segmented market is that the price of the security is sensitive to supply and demand conditions for that specific security, absent changes in risk and absent any new information. This paper examines intra-day trading data from the inter-dealer broker market for U.S. Treasury securities an...

While there are many factors and other alternative methods to forecast the future performance of Philippine Stock Market Index, researchers have elected utilize a quantitative approach based on technical market available which consists mainly intra-day daily trading levels index.

The purpose of this paper is to determine the liquidity spillover effects trades executed in European sovereign bond markets and assess driving factors behind magnitude spill-overs between different markets. one minute-frequency limit order-book dataset constructed from mid-2011 until end-2017 for bonds six largest euro area countries. It used event study panel regression model. results reveale...

Following the evolvement of technology in the trading and reporting systems of financial markets in the recent past, the abundance of high frequency data made available for analysis has opened up the scope for more insightful research work on the intra day behaviour of financial market data. Using high frequency intra day data from 1 January 2004 to 31 December 2004, this paper examines the pat...