A Mean-Field Game Model for Optimal Trading at the Intraday Electricity Market

In this study, we provide a simple one period mean-field-games setting for the joint optimal trading problem for electricity producers at the electricity markets. Based on the Markowitz mean-variance approach from stock trading, we consider a decision problem of an electricity provider when determining the optimal fractions of production that should be traded at the day ahead and at the intraday markets. Moreover, all such providers are related by a ranking criterion and each one wants to perform as good as possible in this ranking. We first start with a simple model where only the price risk at the intraday market is present and subsequently extend the problem to the cases involving either production and/or demand uncertainty. The key technique is to reduce the optimality conditions to a first order non-linear ordinary differential equation. We will illustrate our findings by various numerical examples. Our findings will in particular be important for electricity producers using renewable resources