Price formation and optimal trading in intraday electricity markets
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the 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 framework of mean field games. Our model reproduces the empirical features of intraday market prices, such as increasing price volatility at the approach of the delivery date and the correlation between price and renewable infeed forecasts, and relates these features with market characteristics like liquidity, number of agents, and imbalance penalty.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Price formation and optimal trading in intraday electricity markets with a major player
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 produc…
An optimal trading problem in intraday electricity markets
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the con…
Probabilistic intraday electricity price forecasting using generative machine learning
The growing importance of intraday electricity trading in Europe calls for improved price forecasting and tailored decision-support tools. In this paper, we propose a novel generative neural network model to generate pro…
Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact
This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electricity market, the model effectively capt…
Econometric Modeling of Intraday Electricity Market Price with Inadequate Historical Data
The intraday (ID) electricity market has received an increasing attention in the recent EU electricity-market discussions. This is partly because the uncertainty in the underlying power system is growing and the ID marke…