  This paper addresses the question of how much to bid to maximize the profit
when trading in two electricity markets: the hourly Day-Ahead Auction and the
quarter-hourly Intraday Auction. For optimal coordinated bidding many price
scenarios are examined, the own non-linear market impact is estimated by
considering empirical supply and demand curves, and a number of trading
strategies is used. Additionally, we provide theoretical results for risk
neutral agents. The application study is conducted using the German market
data, but the presented methods can be easily utilized with other two
consecutive auctions. This paper contributes to the existing literature by
evaluating the costs of electricity trading, i.e. the price impact and the
transaction costs. The empirical results for the German EPEX market show that
it is far more profitable to minimize the price impact rather than maximize the
arbitrage.
