Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player

Olivier Féron, Peter Tankov and Laura Tinsi
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Olivier Féron: Electricité de France R&D, 91120 Palaiseau, France
Peter Tankov: CREST, ENSAE, Institut Polytechnique de Paris, 91120 Palaiseau, France
Laura Tinsi: Electricité de France R&D, 91120 Palaiseau, France

Risks, 2020, vol. 8, issue 4, 1-21

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; renewable energy; mean field games; major player (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:8:y:2020:i:4:p:133-:d:457902

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