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Arbitrage - How to monetize an intermittent market

Marnfeldt, Nils LU and Styren, Bror LU (2021) MIOM05 20211
Production Management
Abstract
This thesis tries to answer the question of how to properly trade on an intermittent market using a theoretical storage and estimates attainable profit of such a setup. This have been done through evaluating different storage alternatives, analyzing market trends, investigating associated costs for the operation and simulating possible outcomes. Trading with certain rules, an algorithm has been developed which simulates various forecasted market data and generates a reachable, and profitable, outcome. By simulating multiple forecasted market price years, a higher degree of certainty in actual obtainable profit is created, assigning additional trustworthiness to the result, where most simulations come to a similar conclusion regarding... (More)
This thesis tries to answer the question of how to properly trade on an intermittent market using a theoretical storage and estimates attainable profit of such a setup. This have been done through evaluating different storage alternatives, analyzing market trends, investigating associated costs for the operation and simulating possible outcomes. Trading with certain rules, an algorithm has been developed which simulates various forecasted market data and generates a reachable, and profitable, outcome. By simulating multiple forecasted market price years, a higher degree of certainty in actual obtainable profit is created, assigning additional trustworthiness to the result, where most simulations come to a similar conclusion regarding investment strategy of equipment. (Less)
Popular Abstract
This thesis tries to answer the question of how to properly trade on an intermittent market using a theoretical storage and estimates attainable profit of such a setup. This have been done through evaluating different storage alternatives, analyzing market trends, investigating associated costs for the operation and simulating possible outcomes. Trading with certain rules, an algorithm has been developed which simulates various forecasted market data and generates a reachable, and profitable, outcome. By simulating multiple forecasted market price years, a higher degree of certainty in actual obtainable profit is created, assigning additional trustworthiness to the result, where most simulations come to a similar conclusion regarding... (More)
This thesis tries to answer the question of how to properly trade on an intermittent market using a theoretical storage and estimates attainable profit of such a setup. This have been done through evaluating different storage alternatives, analyzing market trends, investigating associated costs for the operation and simulating possible outcomes. Trading with certain rules, an algorithm has been developed which simulates various forecasted market data and generates a reachable, and profitable, outcome. By simulating multiple forecasted market price years, a higher degree of certainty in actual obtainable profit is created, assigning additional trustworthiness to the result, where most simulations come to a similar conclusion regarding investment strategy of equipment. (Less)
Please use this url to cite or link to this publication:
author
Marnfeldt, Nils LU and Styren, Bror LU
supervisor
organization
course
MIOM05 20211
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Arbitrage, Electricity, Energy storage, Optimization
report number
21/5668
language
English
id
9052825
date added to LUP
2021-06-24 00:48:21
date last changed
2021-06-24 00:48:21
@misc{9052825,
  abstract     = {{This thesis tries to answer the question of how to properly trade on an intermittent market using a theoretical storage and estimates attainable profit of such a setup. This have been done through evaluating different storage alternatives, analyzing market trends, investigating associated costs for the operation and simulating possible outcomes. Trading with certain rules, an algorithm has been developed which simulates various forecasted market data and generates a reachable, and profitable, outcome. By simulating multiple forecasted market price years, a higher degree of certainty in actual obtainable profit is created, assigning additional trustworthiness to the result, where most simulations come to a similar conclusion regarding investment strategy of equipment.}},
  author       = {{Marnfeldt, Nils and Styren, Bror}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Arbitrage - How to monetize an intermittent market}},
  year         = {{2021}},
}