Price formation and optimal trading in intraday electricity markets

Olivier F\'eron, Peter Tankov and Laura Tinsi

Papers from arXiv.org

Abstract: 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.

Date: 2020-09, Revised 2021-06
New Economics Papers: this item is included in nep-ene, nep-gth and nep-mst
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2009.04786

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