Price formation and optimal trading in intraday electricity markets with a major player

Olivier Féron; Peter Tankov; Laura Tinsi

doi:10.3390/risks8040133

Price formation and optimal trading in intraday electricity markets with a major player

Olivier Féron
, Peter Tankov
, Laura Tinsi

Lamsid/EDF/R and D

Research output: Contribution to journal › Article › peer-review

Abstract

We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory, we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in a closed form in the asymptotic framework of mean field games with a major player.

Original language	English
Article number	133
Pages (from-to)	1-21
Number of pages	21
Journal	Risks
Volume	8
Issue number	4
DOIs	https://doi.org/10.3390/risks8040133
Publication status	Published - 1 Dec 2020

Keywords

Intraday electricity market
Major player
Mean field games
Renewable energy

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

Access to Document

10.3390/risks8040133

Cite this

@article{d4aeb7a27d62484f8a71462148b8c1d1,

title = "Price formation and optimal trading in intraday electricity markets with a major player",

abstract = "We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory, we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in a closed form in the asymptotic framework of mean field games with a major player.",

keywords = "Intraday electricity market, Major player, Mean field games, Renewable energy",

author = "Olivier F{\'e}ron and Peter Tankov and Laura Tinsi",

note = "Publisher Copyright: {\textcopyright} 2020 by the authors. Licensee MDPI, Basel, Switzerland.",

year = "2020",

month = dec,

day = "1",

doi = "10.3390/risks8040133",

language = "English",

volume = "8",

pages = "1--21",

journal = "Risks",

issn = "2227-9091",

number = "4",

}

TY - JOUR

T1 - Price formation and optimal trading in intraday electricity markets with a major player

AU - Féron, Olivier

AU - Tankov, Peter

AU - Tinsi, Laura

PY - 2020/12/1

Y1 - 2020/12/1

N2 - We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory, we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in a closed form in the asymptotic framework of mean field games with a major player.

AB - We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory, we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in a closed form in the asymptotic framework of mean field games with a major player.

KW - Intraday electricity market

KW - Major player

KW - Mean field games

KW - Renewable energy

U2 - 10.3390/risks8040133

DO - 10.3390/risks8040133

M3 - Article

AN - SCOPUS:85097553301

SN - 2227-9091

VL - 8

SP - 1

EP - 21

JO - Risks

JF - Risks

IS - 4

M1 - 133

ER -

Price formation and optimal trading in intraday electricity markets with a major player

Abstract

Keywords

UN SDGs

Access to Document

Fingerprint

Cite this