Optimal trading policies for wind energy producer

Zongjun Tan and Peter Tankov

Papers from arXiv.org

Abstract: We study the optimal trading policies for a wind energy producer who aims to sell the future production in the open forward, spot, intraday and adjustment markets, and who has access to imperfect dynamically updated forecasts of the future production. We construct a stochastic model for the forecast evolution and determine the optimal trading policies which are updated dynamically as new forecast information becomes available. Our results allow to quantify the expected future gain of the wind producer and to determine the economic value of the forecasts.

Date: 2016-09
New Economics Papers: this item is included in nep-ene, nep-for and nep-reg
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1610.04458 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1610.04458

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().