Intraday Power Trading for Imbalance Markets: An Adaptive Risk-Averse Strategy using Mixture Models.
Robin BruneelMathijs SchuurmansPanagiotis PatrinosPublished in: CoRR (2024)
Keyphrases
- mixture model
- risk averse
- trading strategies
- electricity markets
- gaussian mixture model
- risk neutral
- em algorithm
- generative model
- expectation maximization
- decision makers
- model selection
- unsupervised learning
- utility function
- maximum likelihood
- financial markets
- probabilistic model
- trading systems
- stochastic programming
- stock market
- expected utility
- exchange rate
- dynamic programming