Rolling intrinsic for battery valuation in day-ahead and intraday markets

Battle Count: 59

The paper is highly relevant to quantitative trading in electricity markets, particularly for algorithmic execution of battery storage strategies. The rolling intrinsic approach is a practical trading methodology with explicit bid-ask spread modeling, directly applicable to intraday trading desks. The multi-market bidding framework and liquidity analysis provide actionable insights for energy traders. However, it is domain-specific to electricity markets rather than general financial markets, and the optimization is more operations-research oriented than typical quantitative finance approaches. The treatment of liquidity constraints and execution timing is directly transferable to other continuous trading contexts.

The core optimization is a mixed-integer linear program that is well-structured and solvable with standard solvers (the EAO package is referenced). The rolling intrinsic algorithm is clearly specified with a straightforward loop structure. However, practical implementation requires: (1) real-time access to EPEX order book and trade data, (2) proper bid-ask price construction from raw trades, (3) integration with day-ahead price forecasts, (4) handling of Loop Orders and market-specific order types, (5) management of state-of-charge tracking across trading periods, and (6) compliance with cycle constraints. The data processing pipeline for >300,000 intraday trades adds engineering complexity.

The paper provides detailed algorithm descriptions (Algorithm 1), explicit optimization formulations (Equations 1-10), bid-ask price construction methodology (Equations 11-12), and references the open-source EAO software package (https://github.com/RIVACON/EAO). Battery configurations are fully specified in Table 1. However, the specific EPEX trade data used (June 14, 2024 to July 1, 2025) is not directly provided, and some parameter choices (N=10, 20%/80% quantiles) are stated but the exact data processing pipeline details are limited.