Liquidity risks on power exchanges
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Keywordsilliquidity; electricity; power exchange; artitrage; generalized Nash Equilibrium; equilibrium based model; coherent risk valuation;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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