• Media type: E-Article
  • Title: Price formation and optimal trading in intraday electricity markets with a major player
  • Contributor: Féron, Olivier [Author]; Tankov, Peter [Author]; Tinsi, Laura [Author]
  • imprint: Basel: MDPI, 2020
  • Language: English
  • DOI: https://doi.org/10.3390/risks8040133
  • ISSN: 2227-9091
  • Keywords: intraday electricity market ; mean field games ; major player ; renewable energy
  • Origination:
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  • Description: 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.
  • Access State: Open Access
  • Rights information: Attribution (CC BY)