Artikel
Price formation and optimal trading in intraday electricity markets with a major player
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 4 ; Pages: 1-21 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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intraday electricity market
renewable energy
mean field games
major player
- Event
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Geistige Schöpfung
- (who)
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Féron, Olivier
Tankov, Peter
Tinsi, Laura
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2020
- DOI
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doi:10.3390/risks8040133
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Féron, Olivier
- Tankov, Peter
- Tinsi, Laura
- MDPI
Time of origin
- 2020
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