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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Numéro d'article	133
Pages (de - à)	1-21
Nombre de pages	21
journal	Risks
Volume	8
Numéro de publication	4
Les DOIs	https://doi.org/10.3390/risks8040133
état	Publié - 1 déc. 2020

SDG des Nations Unies

Ce résultat contribue à ou aux Objectifs de développement durable suivants

SDG 7 Énergie abordable et propre

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10.3390/risks8040133

Contient cette citation

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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",

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AU - Féron, Olivier

AU - Tankov, Peter

AU - Tinsi, Laura

PY - 2020/12/1

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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

Résumé

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