  Electricity exchanges offer several trading possibilities for market
participants: starting with futures products through the spot market consisting
of the auction and continuous part, and ending with the balancing market. This
variety of choice creates a new question for traders - when to trade to
maximize the gain. This problem is not trivial especially for trading larger
volumes as the market participants should also consider their own price impact.
The following paper raises this issue considering two markets: the hourly EPEX
Day-Ahead Auction and the quarter-hourly EPEX Intraday Auction. We consider a
realistic setting which includes a forecasting study and a suitable evaluation.
For a meaningful optimization many price scenarios are considered that we
obtain using bootstrap with models that are well-known and researched in the
electricity price forecasting literature. The own market impact is predicted by
mimicking the demand or supply shift in the respectful auction curves. A number
of trading strategies is considered, e.g. minimization of the trading costs,
risk neutral or risk averse agents. Additionally, we provide theoretical
results for risk neutral agents. Especially we show when the optimal trading
path coincides with the solution that minimizes transaction costs. The
application study is conducted using the German market data, but the presented
methods can be easily utilized with other two auction-based markets. They could
be also generalized to other market types, what is discussed in the paper as
well. The empirical results show that market participants could increase their
gains significantly compared to simple benchmark strategies.
