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math.OC2026
Convex Modeling of Price Cross-Impact over Time
Vincent Yinjun-Wang, Madeleine Udell
Transaction costs can make or break a trading strategy, particularly in relative-value trading of commodity and macro markets, where edges are a few basis points. Price impact is a…
math.OC2026
Battery Bidding under Price Uncertainty in Wholesale Electricity Markets
Vincent Yinjun-Wang, Madeleine Udell
Grid-scale batteries increasingly influence outcomes in wholesale electricity markets, but their observed bid patterns remain difficult to interpret. In particular, bids that appea…