Research Article
BU MET ABA Program to Quantitative Trading in Energy Market
@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
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.
