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Computer Science and Education in Computer Science. 19th EAI International Conference, CSECS 2023, Boston, MA, USA, June 28–29, 2023, Proceedings

Research Article

BU MET ABA Program to Quantitative Trading in Energy Market

Cite
BibTeX Plain Text
  • @INPROCEEDINGS{10.1007/978-3-031-44668-9_32,
        author={Hanbo Yu},
        title={BU MET ABA Program to Quantitative Trading in Energy Market},
        proceedings={Computer Science and Education in Computer Science. 19th EAI International Conference, CSECS 2023, Boston, MA, USA, June 28--29, 2023, Proceedings},
        proceedings_a={CSECS},
        year={2023},
        month={10},
        keywords={Quantitative Trading Wholesale Energy Market DALMP RTLMP DART spread volatility rate of return},
        doi={10.1007/978-3-031-44668-9_32}
    }
    
  • Hanbo Yu
    Year: 2023
    BU MET ABA Program to Quantitative Trading in Energy Market
    CSECS
    Springer
    DOI: 10.1007/978-3-031-44668-9_32
Hanbo Yu1,*
  • 1: Department of Administrative Sciences, Boston University, Metropolitan College, Boston
*Contact email: yuhanbo@bu.edu

Abstract

This paper presents a study conducted by the author during his enrollment in the Applied Business Analytics program at BU Metropolitan College from September 2019 to January 2021. Equipped with the acquired techniques and skills, the author subsequently joined a high-tech energy company and engaged in quantitative trading to capitalize on the financial opportunities presented by the DART spread. The paper provides an overview of the New England wholesale energy market, including an explanation of how the DALMP and RTLMP are settled, highlights extreme market events, and discusses the market's chaotic nature. The author further describes the qualitative and quantitative approaches employed, such as machine learning, statistical analysis, and data mining, which enabled him to achieve an impressive annual rate of return of 25.52% and a peak daily rate of return of 334.87% (translating to net earnings of $100,462.36 within a single day) through quant trading.

Keywords
Quantitative Trading Wholesale Energy Market DALMP RTLMP DART spread volatility rate of return
Published
2023-10-11
Appears in
SpringerLink
http://dx.doi.org/10.1007/978-3-031-44668-9_32
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