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

Résultats de recherche: Le chapitre dans un livre, un rapport, une anthologie ou une collection › Contribution à une conférence › Revue par des pairs

Résumé

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.

langue originale	Anglais
titre	Network Games, Control and Optimization - 10th International Conference, NetGCooP 2020, Proceedings
rédacteurs en chef	Samson Lasaulce, Panayotis Mertikopoulos, Ariel Orda
Editeur	Springer Science and Business Media Deutschland GmbH
Pages	294-305
Nombre de pages	12
ISBN (imprimé)	9783030874728
Les DOIs	https://doi.org/10.1007/978-3-030-87473-5_26
état	Publié - 1 janv. 2021
Evénement	10th International Conference on Network Games, Control and Optimization, NETGCOOP 2020 - Cargèse, France Durée: 22 sept. 2021 → 24 sept. 2021

Série de publications

Nom	Communications in Computer and Information Science
Volume	1354 CCIS
ISSN (imprimé)	1865-0929
ISSN (Electronique)	1865-0937

Une conférence

Une conférence	10th International Conference on Network Games, Control and Optimization, NETGCOOP 2020
Pays/Territoire	France
La ville	Cargèse
période	22/09/21 → 24/09/21

SDG des Nations Unies

Ce résultat contribue à ou aux Objectifs de développement durable suivants

SDG 7 Énergie abordable et propre

Accès au document

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

Autres fichiers et liens

Lien vers la publication dans Scopus

Contient cette citation

Féron, O., Tankov, P., & Tinsi, L. (2021). Price Formation and Optimal Trading in Intraday Electricity Markets. Dans S. Lasaulce, P. Mertikopoulos, & A. Orda (eds.), Network Games, Control and Optimization - 10th International Conference, NetGCooP 2020, Proceedings (p. 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. Editeur / Samson Lasaulce ; Panayotis Mertikopoulos ; Ariel Orda. Springer Science and Business Media Deutschland GmbH, 2021. p. 294-305 (Communications in Computer and Information Science).

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title = "Price Formation and Optimal Trading in Intraday Electricity Markets",

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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Féron, O, Tankov, P & Tinsi, L 2021, Price Formation and Optimal Trading in Intraday Electricity Markets. Dans 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, p. 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).

Résultats de recherche: Le chapitre dans un livre, un rapport, une anthologie ou une collection › Contribution à une conférence › Revue par des pairs

TY - GEN

T1 - Price Formation and Optimal Trading in Intraday Electricity Markets

AU - Féron, Olivier

AU - Tankov, Peter

AU - Tinsi, Laura

PY - 2021/1/1

Y1 - 2021/1/1

N2 - 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.

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.

KW - Electricity markets

KW - Renewable energies

KW - Stochastic games

UR - https://www.scopus.com/pages/publications/85116366984

U2 - 10.1007/978-3-030-87473-5_26

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

M3 - Conference contribution

AN - SCOPUS:85116366984

SN - 9783030874728

T3 - Communications in Computer and Information Science

SP - 294

EP - 305

BT - Network Games, Control and Optimization - 10th International Conference, NetGCooP 2020, Proceedings

A2 - Lasaulce, Samson

A2 - Mertikopoulos, Panayotis

A2 - Orda, Ariel

PB - Springer Science and Business Media Deutschland GmbH

T2 - 10th International Conference on Network Games, Control and Optimization, NETGCOOP 2020

Y2 - 22 September 2021 through 24 September 2021

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Féron O, Tankov P, Tinsi L. Price Formation and Optimal Trading in Intraday Electricity Markets. Dans Lasaulce S, Mertikopoulos P, Orda A, rédacteurs en chef, 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