Machine Learning-Driven Virtual Bidding with Electricity Market Efficiency Analysis
“The comprehensive empirical analysis on PJM, ISO-NE, and CAISO indicates that the proposed virtual bid portfolio optimization strategy considering the price sensitivity explicitly outperforms the one that neglects the price sensitivity.”
AssetEquitiesindices
StrategyPortfolio optimization
TechniqueRecurrent neural networkfeedforward network
GeographyUS
Also stated: Sharpe ratio, Excess return, Profit, benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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