Electricity Market Portfolio Optimization
- Collected over 100 gigabytes of data from Independent System Operators (ISOs) through API and web
scraping.
- Cleaned, transformed, and filtered data using results on random covariance matrices.
- Generated recommendations for portfolios of long and short positions using filtered covariance
matrices. The results are
demonstrated to be more stable and outperforms unfiltered portfolios for over 93% of the time.