The paper presents an automated high-frequency trading strategy for battery storage systems in intraday electricity markets.
A dynamic programming approach is used to rapidly solve trading strategies, significantly cutting down computational time compared to exact methods.
Backtesting over a year of data shows that rapid trading can significantly increase revenue.
High-frequency trading strategies yield 58% more profit than hourly strategies and 14% more than minute-based strategies, proving trading speed is crucial.
A parametric extension further increases yearly revenue by 8.4%.
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