Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact

This paper investigates optimal execution strategies in intraday energy markets through a bivariate Hawkes process with transient price impact. Calibrated to German intraday electricity data, the model reproduces:

• pronounced intra-session volatility,
• characteristic intraday activity patterns, and
• the Samuelson effect as gate closure approaches.

By coupling the Hawkes-driven order-flow with a transient impact kernel, we derive an optimal trading schedule for large-volume market participants. Back-tests show substantial cost savings versus TWAP and VWAP benchmarks across multiple hourly products.

Recommended citation: Konstantinos Chatziandreou and Sven Karbach (2025). “Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact.” arXiv, arXiv:2504.10282.
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