market impact

Facing an Arbitrage Opportunity: Trade or Wait?

  • Yongpei Guan
  • Robert Jarrow
  • Haitao Li
  • Lai Wei
    • Categories Applications - OR and Management Sciences, Finance and Economics Tags , , ,

    In traditional thinking, an arbitrageur will trade immediately once an arbitrage opportunity appears. Is this the best strategy for the arbitrageur or it is even better to wait for the best time to trade so as to achieve the maximum pro fit? To answer this question, this paper studies the optimal trading strategies of an arbitrageur … Read more

    Optimal Control of Plug-In Hybrid Electric Vehicles with Market Impact and Risk Attitude

  • Yongpei Guan
  • Lai Wei
    • Categories Applications - OR and Management Sciences Tags , , , ,

    In this paper, we develop optimal electricity storage control policies to manage charging and discharging activities for plug-in hybrid electric vehicles for the benefit of an energy market participant. We first develop models for both risk-neutral and risk-averse aggregators to participate only in a real-time market. The proposed models capture the impact of the charging … Read more