This paper addresses the question of how much to bid to maximize the profit when trading in two electricity markets: the hourly Day-Ahead Auction and the quarter-hourly Intraday Auction. For optimal coordinated bidding many price scenarios are examined, the own non-linear market impact is estimated by considering empirical supply and demand curves, and a number of trading strategies is used. Additionally, we provide theoretical results for risk neutral agents. The application study is conducted using the German market data, but the presented methods can be easily utilized with other two consecutive auctions. This paper contributes to the existing literature by evaluating the costs of electricity trading, i.e. the price impact and the transaction costs. The empirical results for the German EPEX market show that it is far more profitable to minimize the price impact rather than maximize the arbitrage.

翻译：本文探讨了在两个电力市场进行交易时要争取最大利润以获得最大利润要付出多大努力的问题:即小时头拍卖和每小时四分之一拍卖。为了对许多价格设想进行最佳协调投标,通过考虑实证供求曲线来估计其本身的非线性市场影响,并采用若干贸易战略。此外,我们为风险中立代理人提供理论结果。应用研究使用德国市场数据进行,但所提出的方法可以很容易地与其他两个连续拍卖一起使用。本文通过评估电力交易的成本,即价格影响和交易成本,对现有的文献有所帮助。德国EPEX市场的经验结果表明,最大限度地减少价格影响而不是尽量扩大套利更有利。