Research Grant: Optimal Power Trading in Illiquid Markets


Quantego S.à r.l. is pleased to announce that it has been awarded an 130k € Industrial Fellowships Postdoc Grant of the Fonds National de la Recherche (FNR), Luxembourg for its joint research project on "Optimal Power Trading in Illiquid Markets (OPTIM)" with the Norwegian University of Science and Technology (NTNU), Prof Nils Löhndorf and Prof Stein-Erik Fleten (NTNU).

The project aims at developing a stochastic-dynamic model to optimize trading decisions in illiquid power markets. The project consists of modeling liquidity based on order book data, modeling price forward curves as stochastic processes and defining a decision model to reflect the choice between all financial instruments available to a power trader. The deliverable is a prototype of a decision support system for power traders and risk managers.

The aim of the Industrial Fellowships programme is to foster the cooperation between Luxembourg based companies active in R&D and public research institutions in Luxembourg and/or abroad. The scheme awards PhD and Postdoc grants to researchers who carry out their PhD and/or postdoc training in collaboration with a company in Luxembourg.