BPCPPDYSOE21 – wissenschaftliches Programm

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DY: Fachverband Dynamik und Statistische Physik

DY 19: Statistical Physics 4 - organized by Barbara Drossel (Darmstadt), Sabine Klapp (Berlin) and Thomas Speck (Mainz)

DY 19.5: Vortrag

Dienstag, 23. März 2021, 10:20–10:40, DYb

Minority games played by arbitrageurs on the energy market — •Tim Ritmeester and Hildegard Meyer-Ortmanns — Jacobs University, Bremen, Germany

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. As conclusions from our results we propose economic and statutory measures to counteract a detrimental effect of arbitrage.