An optimal trading problem in intraday electricity markets
Aïd, René; Gruet, Pierre; Pham, Huyên (2016), An optimal trading problem in intraday electricity markets, Mathematics and Financial Economics, 10, p. 49-85
TypeArticle accepté pour publication ou publié
Journal nameMathematics and Financial Economics
MetadataShow full item record
Laboratoire d'Economie de Dauphine [LEDa]
Laboratoire de Probabilités, Statistiques et Modélisations [LPSM (UMR_8001)]
Abstract (EN)We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the clients minus the production from renewable energy. For a simple linear price impact model and a quadratic criterion, we explicitly obtain approximate optimal strategies in the intraday market and thermal power generation, and exhibit some remarkable properties of the trading rate. Furthermore, we study the case when there are jumps on the demand forecast and on the intraday price, typically due to error in the prediction of wind power generation. Finally, we solve the problem when taking into account delay constraints in thermal power production.
Subjects / KeywordsOptimal trading, power plant, intraday electricity markets, renewable energy,market impact, linear-quadratic control problem, jumps, delay.
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