Optimal trading policies for wind energy producer

Zongjun Tan and Peter Tankov
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Zongjun Tan: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique
Peter Tankov: LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité

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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.

Keywords: wind energy; forecasts; optimal trading policies; stochastic control (search for similar items in EconPapers)
Date: 2018
Note: View the original document on HAL open archive server: https://hal.science/hal-01348828v1
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Published in SIAM Journal on Financial Mathematics, 2018, 9 (1), pp.315--346. ⟨10.1137/16M1093069⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01348828

DOI: 10.1137/16M1093069

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