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Energy Market Surveillance in the EU and US: A Study of Market Designs, Regulations, and Detection  Algorithms
KTH, School of Industrial Engineering and Management (ITM), Energy Technology.
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

The need for market surveillance in the context of wholesale energy trading is examined through a study of twenty years of energy market liberalisation, resulting modern market designs in EU and US power and gas markets, and through an exploration of high-profile case studies of energy market abuse. Additionally, an extensive regulatory analysis of core EU (REMIT, MAR, MiFID II) and US (CEA/Dodd-Frank Act, Energy Policy Act, EISA) market regulations is conducted, with the goal of clearly identifying current obligations and prohibitions in their application to wholesale energy market actors. Lastly, the identified prohibition of one specific manipulative behaviour – physical-asset-related insider trading – is translated into a functional high-level alert logic, suitable for future implementation in an automated surveillance system. This high-level alert logic is validated on a proof-of-concept level by testing a minimum working example of the logic against independently prepared sample trading data, which has been modified to include a suitable physical-asset-related insider trading case.

Abstract [sv]

Behovet av marknadsövervakning i samband med grosshandel med energi undersöks genom en studie av tjugo års liberalisering av energimarknaden, vilket resulterade i moderna marknadsdesign i EUs och USAs kraft- och gasmarknader, och genom en prospektering av högprofilerade fallstudier av energimarknadsmissbruk. Dessutom har en omfattande reglementeringsanalys av EU:s (REMIT, MAR, MiFID II) och USA:s (CEA / Dodd-Frank Act, Energy Policy Act, EISA) huvudsakliga marknadsreglementering med målet att tydligt identifiera nuvarande skyldigheter och förbud för energigrossmarknadens aktörer. Slutligen, det identifierade förbudet mot en specifik manipulativ beteende - fysisk tillgångsrelaterad insiderhandel - översätts till en funktionell högnivå varningslogik, lämplig för framtida implementering i ett automatiserat övervakningssystem. Den här hög nivå varningslogiken är validerad på ett belägg-av-koncept nivå genom att testa ett minimalt arbetsexempel på logik mot oavhängiga preparerat provhandelstransaktionsdata, som har modifierats för att inkludera ett lämpligt fall av fysisk tillgångsrelaterad insiderhandel.

Place, publisher, year, edition, pages
2018. , p. 135
Series
TRITA-ITM-EX 2018 ; 597
National Category
Mechanical Engineering
Identifiers
URN: urn:nbn:se:kth:diva-245997OAI: oai:DiVA.org:kth-245997DiVA, id: diva2:1295024
Supervisors
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Available from: 2019-03-08 Created: 2019-03-08 Last updated: 2019-03-08Bibliographically approved

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