Arbitrage on European Energy Markets

Pavel Sedláček

2021

Abstract

Aim of this paper is to present arbitrage opportunities within chosen European energy commodities, specifically electricity sold on German, Polish, French, Slovak, Czech, Italian, Hungarian markets. As the main product was chosen BL CAL+1 – electricity future of next year delivery. Energy exchange market correlations and differentials are calculated and compared with the costs related to transfer of the commodity. Final possible profit as well as risks (and related possible loses) are expressed. All possible arbitrage options, country law, tax and market specifics are considered. Final conclusion whether the arbitrage is possible, how difficult it is to find such situations is stated, as well as the formula, which variables are necessary to focus on for time arbitrage calculation based on various data inputs.

Paper Citation

in EndNote Style

TY - CONF

JO - Proceedings of the 1st International Joint Conference on Energy and Environmental Engineering - Volume 1: CoEEE,
TI - Arbitrage on European Energy Markets
SN - 978-989-758-599-9
AU - Sedláček P.
PY - 2021
SP - 57
EP - 61
DO - 10.5220/0011357900003355

in Harvard Style

Sedláček P. (2021). Arbitrage on European Energy Markets. In Proceedings of the 1st International Joint Conference on Energy and Environmental Engineering - Volume 1: CoEEE, ISBN 978-989-758-599-9, pages 57-61. DOI: 10.5220/0011357900003355

in Bibtex Style

@conference{coeee21,
author={Pavel Sedláček},
title={Arbitrage on European Energy Markets},
booktitle={Proceedings of the 1st International Joint Conference on Energy and Environmental Engineering - Volume 1: CoEEE,},
year={2021},
pages={57-61},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0011357900003355},
isbn={978-989-758-599-9},
}