Price Formation and Optimal Trading in Intraday Electricity Markets

Olivier Féron; Peter Tankov; Laura Tinsi

doi:10.1007/978-3-030-87473-5_26

Price Formation and Optimal Trading in Intraday Electricity Markets

Olivier Féron
, Peter Tankov
, Laura Tinsi

Lamsid/EDF/R and D

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

We study price formation in intraday electricity markets in the presence of asymmetric information and intermittent generation. We use stochastic control theory to identify optimal strategies of agents with market impact and exhibit the Nash equilibrium in closed form for a finite number of agents as well as in the asymptotic setting of Mean field games. We show that our model is able to reproduce some empirical facts observed in the market (price impact, volatility), and allows producers to deal with risks and costs related to intermittent renewable generation.

Original language	English
Title of host publication	Network Games, Control and Optimization - 10th International Conference, NetGCooP 2020, Proceedings
Editors	Samson Lasaulce, Panayotis Mertikopoulos, Ariel Orda
Publisher	Springer Science and Business Media Deutschland GmbH
Pages	294-305
Number of pages	12
ISBN (Print)	9783030874728
DOIs	https://doi.org/10.1007/978-3-030-87473-5_26
Publication status	Published - 1 Jan 2021
Event	10th International Conference on Network Games, Control and Optimization, NETGCOOP 2020 - Cargèse, France Duration: 22 Sept 2021 → 24 Sept 2021

Publication series

Name	Communications in Computer and Information Science
Volume	1354 CCIS
ISSN (Print)	1865-0929
ISSN (Electronic)	1865-0937

Conference

Conference	10th International Conference on Network Games, Control and Optimization, NETGCOOP 2020
Country/Territory	France
City	Cargèse
Period	22/09/21 → 24/09/21

UN SDGs

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

SDG 7 Affordable and Clean Energy

Keywords

Electricity markets
Renewable energies
Stochastic games

Access to Document

10.1007/978-3-030-87473-5_26

Cite this

Féron, O., Tankov, P., & Tinsi, L. (2021). Price Formation and Optimal Trading in Intraday Electricity Markets. In S. Lasaulce, P. Mertikopoulos, & A. Orda (Eds.), Network Games, Control and Optimization - 10th International Conference, NetGCooP 2020, Proceedings (pp. 294-305). (Communications in Computer and Information Science; Vol. 1354 CCIS). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-030-87473-5_26

Féron, Olivier ; Tankov, Peter ; Tinsi, Laura. / Price Formation and Optimal Trading in Intraday Electricity Markets. Network Games, Control and Optimization - 10th International Conference, NetGCooP 2020, Proceedings. editor / Samson Lasaulce ; Panayotis Mertikopoulos ; Ariel Orda. Springer Science and Business Media Deutschland GmbH, 2021. pp. 294-305 (Communications in Computer and Information Science).

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abstract = "We study price formation in intraday electricity markets in the presence of asymmetric information and intermittent generation. We use stochastic control theory to identify optimal strategies of agents with market impact and exhibit the Nash equilibrium in closed form for a finite number of agents as well as in the asymptotic setting of Mean field games. We show that our model is able to reproduce some empirical facts observed in the market (price impact, volatility), and allows producers to deal with risks and costs related to intermittent renewable generation.",

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

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Féron, O, Tankov, P & Tinsi, L 2021, Price Formation and Optimal Trading in Intraday Electricity Markets. in S Lasaulce, P Mertikopoulos & A Orda (eds), Network Games, Control and Optimization - 10th International Conference, NetGCooP 2020, Proceedings. Communications in Computer and Information Science, vol. 1354 CCIS, Springer Science and Business Media Deutschland GmbH, pp. 294-305, 10th International Conference on Network Games, Control and Optimization, NETGCOOP 2020, Cargèse, France, 22/09/21. https://doi.org/10.1007/978-3-030-87473-5_26

Price Formation and Optimal Trading in Intraday Electricity Markets. / Féron, Olivier; Tankov, Peter; Tinsi, Laura.
Network Games, Control and Optimization - 10th International Conference, NetGCooP 2020, Proceedings. ed. / Samson Lasaulce; Panayotis Mertikopoulos; Ariel Orda. Springer Science and Business Media Deutschland GmbH, 2021. p. 294-305 (Communications in Computer and Information Science; Vol. 1354 CCIS).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AB - We study price formation in intraday electricity markets in the presence of asymmetric information and intermittent generation. We use stochastic control theory to identify optimal strategies of agents with market impact and exhibit the Nash equilibrium in closed form for a finite number of agents as well as in the asymptotic setting of Mean field games. We show that our model is able to reproduce some empirical facts observed in the market (price impact, volatility), and allows producers to deal with risks and costs related to intermittent renewable generation.

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KW - Renewable energies

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Féron O, Tankov P, Tinsi L. Price Formation and Optimal Trading in Intraday Electricity Markets. In Lasaulce S, Mertikopoulos P, Orda A, editors, Network Games, Control and Optimization - 10th International Conference, NetGCooP 2020, Proceedings. Springer Science and Business Media Deutschland GmbH. 2021. p. 294-305. (Communications in Computer and Information Science). doi: 10.1007/978-3-030-87473-5_26