Algorithmic Spot-Trading across Different Market Areas

For the market areas Germany/Austria, Switzerland, Austria and France at Epex-Spot as well as for Austria at the EXAA, hourly spot risk profiles are determined on a daily basis. The calculation of these risk profiles considers the respective spot price dynamics, based on the difference of the 95% quantile and the respective HPFC. All spot risk profiles cover the next seven days; due to the asymmetric price dynamics, the risk profiles have to be provided separately for long and short positions across the various market areas. The hourly granularity of the profiles supports a RAROC (Risk Adjusted Return on Capital) driven trading and allows a quantitative risk assessment of open positions within trading books. The intraday markets are covered by the information category 'price limits' for the markets Germany/Austria, Germany, Austria and France. These price limits are provided numerically and graphically in form of up to five, quantile-based price intervals per hour. Depending on the respective price range in which the current intraday price lies, a recommendation can be derived which intraday trade action is more promising: either to close or to hold an open long or short position.