论文标题
套利者在能源市场上玩的少数族裔游戏
Minority games played by arbitrageurs on the energy market
论文作者
论文摘要
随着能源市场的转变，能源市场将其组织转变为更加分散和自组织的结构，以寻求本地最佳的利润。这些趋势可能会危害物理网格稳定性。一种现实的选择是由于套利者的滥用而导致的储备能源耗尽。我们将能源市场映射到少数族裔游戏的不同版本，并确定预期的套利量及其波动作为模型参数的函数。特别感兴趣的是套利者的异质贡献，外部随机事件与储备金的非线性价格功能之间的相互作用以及由于怀疑的罚款而引起的风险规避的影响。套利对控制参数的非单调依赖性揭示了基本的相变，这是旋转玻璃中复制对称性破裂的对应物。作为我们结果的结论，我们提出了经济和法定措施，以抵消套利的有害影响。
Along with the energy transition, the energy markets change their organization toward more decentralized and self-organized structures, striving for locally optimal profits. These tendencies may endanger the physical grid stability. One realistic option is the exhaustion of reserve energy due to an abuse by arbitrageurs. We map the energy market to different versions of a minority game and determine the expected amount of arbitrage as well as its fluctuations as a function of the model parameters. Of particular interest are the impact of heterogeneous contributions of arbitrageurs, the interplay between external stochastic events and nonlinear price functions of reserve power, and the effect of risk aversion due to suspected penalties. The non-monotonic dependence of arbitrage on the control parameters reveals an underlying phase transition that is the counterpart to replica symmetry breaking in spin glasses. As conclusions from our results we propose economic and statutory measures to counteract a detrimental effect of arbitrage.
