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hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorAïd, René*
hal.structure.identifier
dc.contributor.authorGruet, Pierre*
hal.structure.identifierLaboratoire de Probabilités, Statistiques et Modélisations [LPSM (UMR_8001)]
dc.contributor.authorPham, Huyên*
dc.date.accessioned2017-07-13T12:58:21Z
dc.date.available2017-07-13T12:58:21Z
dc.date.issued2016
dc.identifier.issn1862-9679
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16610
dc.language.isoenen
dc.subjectOptimal trading, power plant, intraday electricity markets, renewable energy,market impact, linear-quadratic control problem, jumps, delay.
dc.subject.ddc333.79en
dc.subject.classificationjelQ.Q4.Q40en
dc.subject.classificationjelQ.Q0.Q02en
dc.subject.classificationjelG.G1.G11en
dc.titleAn optimal trading problem in intraday electricity markets
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.
dc.relation.isversionofjnlnameMathematics and Financial Economics
dc.relation.isversionofjnlvol10
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages49-85
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelEconomie de l'énergieen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-10-05T10:19:06Z
hal.identifierhal-01609481*
hal.version1*
hal.update.actionupdateMetadata*
hal.update.actionupdateFiles*
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