Price formation and optimal trading in intraday electricity markets with a major player

Olivier Féron, Peter Tankov, and Laura Tinsi

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.

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Year of publication:	2020
Authors:	Féron, Olivier ; Tankov, Peter ; Tinsi, Laura
Subject:	intraday electricity market \| renewable energy \| mean field games \| major player \| Energiemarkt \| Energy market \| Erneuerbare Energie \| Renewable energy \| Spekulation \| Speculation \| Strompreis \| Electricity price \| Nash-Gleichgewicht \| Nash equilibrium \| Spieltheorie \| Game theory

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks8040133 [DOI] hdl:10419/258086 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012391678