{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T06:33:48Z","timestamp":1793428428201,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>With electricity being a commodity of substantial economic and social impact, the efficiency of its forward trading is tightly scrutinized by regulators. In particular, the forward premium between the liquid day ahead auctions and the real time delivery prices has been a major focus of attention for risk and conduct. The typical day-ahead uniform price auction essentially takes limit orders, ie offers from generators to produce at any price at or above their offer price, and vice-versa for retailer bids to consume. Whilst the no-arbitrage zero forward premium is often taken to indicate efficiency, we show this is not sufficient. We analyse this by considering limit order pair trading. A limit order pair is a simultaneous offer and bid at a particular value into the day ahead market such that if the clearing price is above that value, the sell is activated, and if it is below, the buy is activated. We derive optimal conditions and show that even if the forward premium is zero, this strategy may be profitable; also confirmed by empirical analysis from GB and Japan, two markets that differ vastly in their maturities. We discuss the robustness of this market analysis and its significance for the persistence of forward premia. In particular, and surprisingly, we show that forward premia can be sustained from a new risk neutral perspective alongside the existing risk-aversion and market power explanations. More generally, this suggests a broader consideration of market efficiency in an actively traded physical commodity such as electricity.<\/jats:p>","DOI":"10.2139\/ssrn.7670460","type":"posted-content","created":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T06:07:56Z","timestamp":1793426876000},"source":"Crossref","is-referenced-by-count":0,"title":["Efficiency in the Forward Electricity Markets with Limit Order Pairs"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6651-5889","authenticated-orcid":true,"given":"Takuji","family":"Matsumoto","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1770-4488","authenticated-orcid":true,"given":"Derek W.","family":"Bunn","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T06:07:56Z","timestamp":1793426876000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7670460"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7670460","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}