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Quantitative Finance · Glossário

O que é Day-ahead-intraday spread?

Definition 23.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 23 — Power and Gas Trading

The day-ahead-intraday spread for a delivery hour is the day-ahead auction price less the intraday price for the same hour; it is driven by what changed between the auction and delivery, above all the forecasts of wind, solar and demand.

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