In this paper, we develop a theoretical model to describe the dynamics of the trading volume under continuous double auction mechanism in limit order markets. We examine the formation process and statistical properti...In this paper, we develop a theoretical model to describe the dynamics of the trading volume under continuous double auction mechanism in limit order markets. We examine the formation process and statistical properties （including the mean, wriance, and realized value） of the buy side cumulative trading volume, sell side cumulative trading volume and total cumulative volume under continuous double auction mechanism by means of mathematical modeling based on Poisson process of order flows, and do some corresponding numerical simulations and comparative statics on the factors that would influence these three volumes aforementioned. The results indicate that these three volumes are all influenced by the factors including the arrival rate of orders, demands of each order, proportional structure between buy and sell orders, executed probability and time interval we examined. And our established theoretical model can well capture the dynamics of these three volumes under continuous double auction mechanism in limit order markets when all these factors interact.展开更多
With the development of smart home energy management technology,prosumers are endowed with increased initiative in peer-to-peer(P2P)transactions,bringing new potential for cost savings.In this study,a novel strategic ...With the development of smart home energy management technology,prosumers are endowed with increased initiative in peer-to-peer(P2P)transactions,bringing new potential for cost savings.In this study,a novel strategic P2P energy trading framework is proposed considering the impact of network constraints on personal transaction strategies.Prosumers can estimate the allowed power injection before engaging in the P2P energy trading,which is solved in a distributed manner based on the sharing form alternating direction method of multipliers(ADMM)algorithm.To quantify the network usage cost for each prosumer and promote local transactions among prosumers at the same bus,a modified continuous double auction(CDA)matching algorithm is proposed including a transaction fee.An adaptive aggressiveness-based bidding strategy is generated considering the risk of uncertainty in real-time energy delivery amount under the limitations of the distribution network.The proposed strategic P2P energy trading framework is tested with the IEEE 37-bus distribution network and it is effective in creating profits for prosumers and supporting distribution network operations.展开更多
文摘In this paper, we develop a theoretical model to describe the dynamics of the trading volume under continuous double auction mechanism in limit order markets. We examine the formation process and statistical properties （including the mean, wriance, and realized value） of the buy side cumulative trading volume, sell side cumulative trading volume and total cumulative volume under continuous double auction mechanism by means of mathematical modeling based on Poisson process of order flows, and do some corresponding numerical simulations and comparative statics on the factors that would influence these three volumes aforementioned. The results indicate that these three volumes are all influenced by the factors including the arrival rate of orders, demands of each order, proportional structure between buy and sell orders, executed probability and time interval we examined. And our established theoretical model can well capture the dynamics of these three volumes under continuous double auction mechanism in limit order markets when all these factors interact.
基金supported in part by the National Key R&D Program of China(No.2018YFB0905000)in part by the National Natural Science Foundation of China(No.51877189)+1 种基金the Joint Program of National Natural Science Foundation of China(No.U2166203)in part by the Zhejiang Provincial Natural Science Foundation of China(No.LR22E070003)。
文摘With the development of smart home energy management technology,prosumers are endowed with increased initiative in peer-to-peer(P2P)transactions,bringing new potential for cost savings.In this study,a novel strategic P2P energy trading framework is proposed considering the impact of network constraints on personal transaction strategies.Prosumers can estimate the allowed power injection before engaging in the P2P energy trading,which is solved in a distributed manner based on the sharing form alternating direction method of multipliers(ADMM)algorithm.To quantify the network usage cost for each prosumer and promote local transactions among prosumers at the same bus,a modified continuous double auction(CDA)matching algorithm is proposed including a transaction fee.An adaptive aggressiveness-based bidding strategy is generated considering the risk of uncertainty in real-time energy delivery amount under the limitations of the distribution network.The proposed strategic P2P energy trading framework is tested with the IEEE 37-bus distribution network and it is effective in creating profits for prosumers and supporting distribution network operations.
