Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact
Published in arXiv (q-fin.TR), 2025
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:
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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