Arbitrage - How to monetize an intermittent market
(2021) MIOM05 20211Production 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:
http://lup.lub.lu.se/student-papers/record/9052825
- author
- Marnfeldt, Nils LU and Styren, Bror LU
- supervisor
- organization
- course
- MIOM05 20211
- year
- 2021
- 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}}, }