Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Estimating Dynamic Conditional Spread Densities to Optimise Daily
  Storage Trading of Electricity   This paper formulates dynamic density functions, based upon skewed-t and
similar representations, to model and forecast electricity price spreads
between different hours of the day. This supports an optimal day ahead storage
and discharge schedule, and thereby facilitates a bidding strategy for a
merchant arbitrage facility into the day-ahead auctions for wholesale
electricity. The four latent moments of the density functions are dynamic and
conditional upon exogenous drivers, thereby permitting the mean, variance,
skewness and kurtosis of the densities to respond hourly to such factors as
weather and demand forecasts. The best specification for each spread is
selected based on the Pinball Loss function, following the closed form
analytical solutions of the cumulative density functions. Those analytical
properties also allow the calculation of risk associated with the spread
arbitrages. From these spread densities, the optimal daily operation of a
battery storage facility is determined.

2
The categories of this paper are: math
21
The categories of this paper are: adap-org
26
The categories of this paper are: bayes-an
13
The categories of this paper are: quant-ph
32
The categories of this paper are: atom-ph
27
The categories of this paper are: comp-gas
8
The categories of this paper are: hep-ex
3
The categories of this paper are: physics
9
The categories of this paper are: nlin
7
The categories of this paper are: hep-th
5
The categories of this paper are: gr-qc
29
The categories of this paper are: funct-an
22
The categories of this paper are: chao-dyn
14
The categories of this paper are: math-ph
34
The categories of this paper are: chem-ph
12
The categories of this paper are: nucl-th