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Optimal Execution Strategy with Time-varying Intraday Patterns of Liquidity Parameters
Title
Optimal Execution Strategy with Time-varying Intraday Patterns of Liquidity Parameters
Creator
Ge, Xinyi
Date
2019
Description
ABSTRACTThis paper suggests an optimal execution strategy to minimize expectedcost of a large size order within a fixed time period. Based on ...
Show moreABSTRACTThis paper suggests an optimal execution strategy to minimize expectedcost of a large size order within a fixed time period. Based on [42]’s price impactmodel, I include time varying bid-ask spread, a measure of market width as aparameter into the problem, and let not only width, but also depth (order booksize) and resiliency time dependent in a trading day. In addition, I utilize meanreversion regression models to estimate mean resiliency ratio as a parameter inthe execution strategy, with S&P 500 stock data in year 2012. U-shaped intradaypatterns of resiliency are presented when measured by bid-ask spreads, whileCotangent-shaped patterns are shown measured by market depths. Resiliencymovement is then predicted using machine learning techniques. In the end, Iconduct empirical experiments with all three time dependent liquidity parametersand obtain same conclusions with numeric examples. I find out higher expectednet cost savings comparing to costs from model with constant liquidity parameters.Market depth is the primary parameter to the strategy while width and resiliencyare not ignorable. When resiliency is low, cost saving is substantial.
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Control and Operation of Microgrids and Networked Microgrids
Title
Control and Operation of Microgrids and Networked Microgrids
Creator
Sheikholeslami, Mehrdad
Date
2022
Description
This dissertation presents the practical operation and control of microgrids and networked microgrids, particularly, the networked IIT Campus...
Show moreThis dissertation presents the practical operation and control of microgrids and networked microgrids, particularly, the networked IIT Campus Microgrid (ICM) and Bronzeville Community Microgrid (BCM). Microgrids (MGs) provide a potential solution to accommodating renewable and distributed energy resources (DERs). MGs and the networked form of MGs, i.e., networked microgrids or NMGs, have received significant attention in the past two decades. However, several details are often neglected in the literature that need to be considered for the practical operations of MGs and NMGs. First, there is a need for a step-by-step sequence of operations (SOO) that clearly defines the procedures for changing the operation modes of MGs and NMGs for their reliable and resilient operation. Second, there is a need to develop new control strategies for the centralized and distributed control of MGs and NMGs that are resilient to extreme events and are also more sustainable than the ones available in the literature. Third, there is a need for developing the model of MGs and NMGs in a real-time simulator to safely evaluate the performance of the control and operation of MGs and NMGs. Finally, to close the engineering loop, there is a need to connect the digital and physical layers which are known as digital twins. This dissertation proposes solutions for these four requirements and presents results to evaluate the performance of the proposed solutions. First, an SOO is proposed to enable the reliable and safe transition between different microgrid operation modes. The proposed SOO is adaptable to any MG and NMG with minor modifications. Second, for the centralized control, a DER control model is proposed that allows for the regulated power exchange between networked MGs to ensure information privacy and respect the electrical boundary of each MG. For the distributed control, two control schemes are proposed that are resilient to extreme cases, allow the integration of renewable energy resources (RES), and require the minimum intervention of the operators. Third, several techniques are proposed that can be adopted for developing the real-time models of MGs and NMGs. Finally, as a proof of concept, a digital twin of a microgrid with connections between the physical and digital layers is implemented and tested. The IIT Campus Microgrid (ICM) and Bronzeville Community Microgrid (BCM), as well as their networked form (networked ICM-BCM), are selected as the practical testbeds and are modeled in Real-time Digital Simulator (RTDS). The RTDS model is interfaced with microgrid master controllers (MMC) for real-time data exchange and the performance of the MMCs and the distributed control strategies are tested to illustrate the importance of adopted methods in the real-time control of MGs and NMGs. Finally, a proof of concept for the digital twin of ICM is presented.
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