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An optimal trading problem in intraday electricity markets

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Date
2016
Dewey
Economie de l'énergie
Sujet
Optimal trading, power plant, intraday electricity markets, renewable energy,market impact, linear-quadratic control problem, jumps, delay.
JEL code
Q.Q4.Q40; Q.Q0.Q02; G.G1.G11
Journal issue
Mathematics and Financial Economics
Volume
10
Publication date
2016
Article pages
49-85
Publisher
Springer
URI
https://basepub.dauphine.fr/handle/123456789/16610
Collections
  • LEDa : Publications
Metadata
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Author
Aïd, René
559342 Laboratoire d'Economie de Dauphine [LEDa]
Gruet, Pierre
Pham, Huyên
1004954 Laboratoire de Probabilités, Statistiques et Modélisations [LPSM (UMR_8001)]
Type
Article accepté pour publication ou publié
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.

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