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Latency arbitrage and the synchronized placement of orders: 《Financial Innovation》2023年第1期2650-2667,共18页Wolfgang Kuhle; We argue that owing to traders’inability to fully express their preferences over the execution times of their orders,contemporary stock market designs are prone to latency arbitrage.In turn,we propose a new order typ...; 关键词：Market design High-frequency trading Latency arbitrage

Correction to: Robust Valuation, Arbitrage Ambiguity and Profit & Loss Analysis: 《Journal of the Operations Research Society of China》2023年第4期973-973,共1页

Battery Storage Configuration of AC/DC Hybrid Distribution Networks被引量：2: 《CSEE Journal of Power and Energy Systems》2023年第3期859-872,共14页He Meng Hongjie Jia Tao Xu Wei Wei Xiaoyu Wang; supported in part by the National Natural Science Foundation of China(No.51777134);in part by a joint project of NSFC of China and EPSRC of UK(No.52061635103 and EP/T021969/1).; The upscaling requirements of energy transition highlight the urgent need for ramping up renewables and boosting system efficiencies.However,the stochastic nature of excessive renewable energy resources has challenged...; 关键词：AC/DC hybrid distribution network arbitrage revenue battery energy storage system life cycle cost voltage source converter

Massive energy storage system for effective usage of renewable energy被引量：3: 《Global Energy Interconnection》2022年第3期301-308,共8页Kenji IBA; The current energy trend indicates a strong thrust toward transforming renewable energy as a major power source.To achieve this mission,battery energy storage systems(BESSs)are indispensable.Although BESSs are expensi...; 关键词：Battery Energy Storage System(BESS) Renewable Energy(RE) Multipurpose Use ARBITRAGE

An Efficient Decomposition Method for Bilevel Energy Storage Arbitrage Problem被引量：1: 《CSEE Journal of Power and Energy Systems》2022年第2期652-658,共7页Danman Wu Tengyun Qi Wei Wei Jianping Liu Laijun Chen Shengwei Mei; This work was supported in part by National Natural Science Foundation of China(51807101,52077109);in part by China Three Gorges Renewables(Group)Co.,Ltd.Project(2020333)。; With the reduction of cost,large-capacity energy storage unit is playing an increasingly important role in modern power systems.When a merchant energy storage unit participates in the power market,its arbitrage proble...; 关键词：Bilevel program energy storage nodal price mixed-integer linear program strategic bidding

Multi-objective Optimization of Production Scheduling Using Particle Swarm Optimization Algorithm for Hybrid Renewable Power Plants with Battery Energy Storage System被引量：4: 《Journal of Modern Power Systems and Clean Energy》2021年第2期285-294,共10页Jon Martinez-Rico Ekaitz Zulueta Ismael Ruiz de Argandona Unai Femandez-Gamiz Mikel Armendia; Considering the increasing integration of renewable energies into the power grid,batteries are expected to play a key role in the challenge of compensating the stochastic and intermittent nature of these energy source...; 关键词：Battery energy storage system energy arbitrage hybrid renewable energy system particle swarm optimization

Modeling Arbitrage of an Energy Storage Unit Without Binary Variables被引量：3: 《CSEE Journal of Power and Energy Systems》2021年第1期156-161,共6页Ziqi Shen Wei Wei Danman Wu Tao Ding Shengwei Mei; the National Natural Science Foundation of China(51807101);the Science and Technology Project of SGCC:Energy Storage for Supporting Renewable Power Integration(522800180003).; Energy storage device cannot be operated in charging and discharging modes simultaneously.Existing model utilizes binary variables to enforce such a request of complementarity.This paper discusses the implementation o...; 关键词：Energy storage MODEL linear programming

Time-Consistent Asymptotic Exponential Arbitrage with Small Probable Maximum Loss: 《Chinese Annals of Mathematics,Series B》2019年第4期495-500,共6页Jinfeng LI; Based on a concept of asymptotic exponential arbitrage proposed by F?llmerSchachermayer, the author introduces a new formulation of asymptotic arbitrage with two main differences from the previous one: Firstly, the re...; 关键词：ASYMPTOTIC ARBITRAGE Time-consistent Small probable maximum loss

An Empirical Examination of the Arbitrage Pricing Theory:Evidences from the U.S.Stock Market: 《Journal of Modern Accounting and Auditing》2019年第2期69-79,共11页Mahdy F.Elhusseiny Nyakundi M.Michieka Benjamin Bae; This study investigates the effects of changes in local macroeconomic risk factors on returns on the banking,chemicals,insurance,telecommunication,and utilities industries in the U.S.market.Using a multifactor pricing...; 关键词：ARBITRAGE PRICING theory MACROECONOMIC factors multifactor PRICING model

Arbitrage-free pricing of derivatives in nonlinear market models被引量：1: 《Probability, Uncertainty and Quantitative Risk》2018年第1期29-84,共56页Tomasz R.Bielecki Igor Cialenco Marek Rutkowski; The objective of this paper is to provide a comprehensive study of the no-arbitrage pricing of financial derivatives in the presence of funding costs,the counterparty credit risk and market frictions affecting the tra...; 关键词：ARBITRAGE HEDGING Fairprice Funding cost Marginagreement Marketfriction BSDE

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