Statistical arbitrage trading on the intraday market using the asynchronous advantage actor–critic method

Author:

Demir SumeyraORCID,Stappers BartORCID,Kok KoenORCID,Paterakis Nikolaos G.ORCID

Publisher

Elsevier BV

Subject

Management, Monitoring, Policy and Law,Mechanical Engineering,General Energy,Building and Construction

Reference36 articles.

1. Speculative trading and market performance: the effect of arbitrageurs on efficiency and market power in the New york electricity market;Saravia,2003

2. Algorithmic bidding for virtual trading in electricity markets;Baltaoglu;IEEE Trans Power Syst,2019

3. Efficiency impact of convergence bidding in the california electricity market;Li;J Regul Econ,2015

4. Inefficiencies and market power in financial arbitrage: a study of California’s electricity markets;Borenstein;J Ind Econ,2008

5. Virtual bidding: Equilibrium, learning, and the wisdom of crowds;Mather;IFAC-PapersOnLine,2017

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