Intraday Electricity Prices and Optimal Liquidation

How should an electricity position be liquidated when trading activity and liquidity change sharply before delivery? At Aarhus University, in collaboration with Aros Commodities, I developed stochastic models combining self-exciting jump arrivals, time-to-delivery effects, and empirically estimated jump sizes. I examined auction-related price drops and recovery and represented these effects through scheduled stochastic transitions. A memory-efficient Python framework supported maximum-likelihood estimation and out-of-sample evaluation on sparse, one-second quote data. I also formulated Hamilton–Jacobi–Bellman equations for liquidating long positions under price uncertainty and execution costs. The ongoing research connects interpretable price models with execution decisions.