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dc.contributor.authorKalife, Aymeric
dc.date.accessioned2009-12-04T09:55:09Z
dc.date.available2009-12-04T09:55:09Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2616
dc.language.isoenen
dc.subjectequilibrium priceen
dc.subjectEnergy marketsen
dc.subject.ddc332en
dc.subject.classificationjelG13en
dc.titleOptimal selling strategies by a large player in energy marketsen
dc.typeCommunication / Conférence
dc.description.abstractenUsually partial equilibrium models used for pricing financial derivatives rely on price equilibrium dynamics which doesn’t explicitly take the trade size into account. However any price is implicitly based on the balance between supply and demand to the extent that the exchanged quantity itself needs to be specifically included within the model. More specifically, given a limited period of time a large player may need to split the entire trade into smaller trenches in order to mitigate market impact. This paper precisely quantitatively and financially offers such optimal strategies to enhance returns. Although based on non linear market impact functions tailored to various temporary or permanent market conditions, this framework gives access to analytical solutions while highlighting key aspects of liquidity. Financial contributions are illustrated in the EEX market driven by both rigid supply and inelastic demand.en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleFifth International Conference on Dynamic Systems and Applicationsen
dc.relation.confdate2007-05
dc.relation.confcityAtlantaen
dc.relation.confcountryÉtats-Unisen


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