Recent changes in the German energy policy initiated a deregulation process from a monopolistic to a competitive market, fundamentally changing the market structure, transaction relationships and trading processes. While the mutual exchange of electric energy has been a business activity between vertically integrated utilities for a long time, wholesale electricity trading in an open market onl...

Various trading strategies are applied in intraday high-frequency market to provide investors with reference signals to be on the right side of market at the right time. In this paper, we apply a trading strategy based on the combination of ACD rules and pivot points system, which is first proposed by Mark B. Fisher, into Chinese market. This strategy has been used by millions of traders to ach...

Positions and views expressed in this study are only those of the author and do not commit CREG in any way. Competition is the instrument favoured by European Institutions to enhance the efficiency of the power sector. Competition requires trading, an activity that can be organised or spontaneously developed by the market. Experience and theory both suggest that some form of organized market is...

This essay focuses on the problem of hedging a long-term commitment to deliver a fixed amount of commodity, which often arises when the maturity of actively trading futures contracts on this commodity is limited to a few months. Problem is given and illustrated by real-world examples. Different hedging strategies are introduced. Finally, three stochastic pricing models proposed by Schwartz [17]...

The online search problem is a fundamental problem in finance. The numerous direct applications include searching for optimal prices for commodity trading and trading foreign currencies. In this paper, we analyze the advice complexity of this problem. In particular, we are interested in identifying the minimum amount of information needed in order to achieve a certain competitive ratio. We desi...

Note: The following appendices will not appear in the Code of Federal Regulations. Commodity Futures Trading Commission (CFTC) Appendices to Treatment of Certain Collateralized Debt Obligations Backed Primarily by Trust Preferred Securities With Regard to Prohibitions and Restrictions on Certain Interests in, and Relationships With, Hedge Funds and Private Equity Funds—Commission Voting Summary...

Commodity storage-assets can be either physical storage-facilities, or contracts guaranteeing their use. Merchants employ them to support their commodity-trading activities in wholesale markets, which are characterized by notoriously volatile prices. Managing a storage asset requires determining an inventory-management policy, which, given a realization of the commodity price, consists of choos...

This paper considers the so called warehouse problem with both space and injection/withdrawal capacity limits. This is a foundational problem in the merchant management of assets for the storage of commodities, such as energy sources and natural resources. When the commodity spot price evolves according to an exogenous Markov process, this work shows that the optimal inventory trading policy of...

In 2003, trading of commodity futures shifted from single commodity, regional exchanges to national exchanges that trade multiple commodities. This paper examines price discovery and hedging effectiveness of commodity futures after this change and concludes that,on average, futures prices do discover information relatively efficiently,but helps to manage risk less efficiently. The paper uses th...

The growth of electronic commerce has aroused considerable interest in the investigation of mechanisms for trading commodities online. The potential for trading institutions to avail of automated trading environments and trading agents has spawned wide-ranging research into negotiation and interaction protocols in multi agent systems. The theory of mechanism design from economics has been emplo...