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hal.structure.identifierLaboratoire de Finance des Marchés d'Energie [FiME Lab]
hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorAïd, René
dc.contributor.authorCosso, A.
hal.structure.identifierLaboratoire de Probabilités, Statistiques et Modélisations [LPSM (UMR_8001)]
dc.contributor.authorPham, Huyên
dc.date.accessioned2022-01-17T14:01:19Z
dc.date.available2022-01-17T14:01:19Z
dc.date.issued2021-10
dc.identifier.issn0960-1627
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22450
dc.language.isoenen
dc.subjectcoupled forward–backward SDE with jumpsen
dc.subjectequilibrium modelen
dc.subjectintraday electricity marketsen
dc.subjectmartingale optimality principleen
dc.subjectSamuelson’s effecten
dc.subject.ddc338.5en
dc.subject.classificationjelQ43en
dc.subject.classificationjelD58en
dc.subject.classificationjelD51en
dc.titleEquilibrium price in intraday electricity marketen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDepartment of Mathematics, University of Bologna;Italy
dc.description.abstractenWe formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously updated forecast of their customers consumption at maturity. Forecasts are prone to idiosyncratic noise and common noise (weather). Agents production capacities are subject to independent random outages, which are each modeled by a Markov chain. The equilibrium price is defined as the price that minimizes trading cost plus imbalance cost of each agent and satisfies the usual market clearing condition. Existence and uniqueness of the equilibrium are proved, and we show that the equilibrium price and the optimal trading strategies are martingales. The main economic insights are the following: (i) when there is no uncertainty on generation, it is shown that the market price is a convex combination of forecasted marginal cost of each agent, with deterministic weights. Furthermore, the equilibrium market price is consistent with Almgren and Chriss's model, and we identify the fundamental part and the permanent market impact. It turns out that heterogeneity across agents is a necessary condition for Samuelson's effect to hold. We show that when heterogeneity lies only on costs, Samuelson's effect holds true. A similar result stands when heterogeneity lies only on market access quality. (ii) When there is production uncertainty only, we provide an approximation of the equilibrium for large number of players. The resulting price exhibits increasing volatility with time.en
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnldate2021-10
dc.relation.isversionofjnlpages1-38en
dc.relation.isversionofdoi10.1111/mafi.12340en
dc.identifier.urlsitehttps://onlinelibrary.wiley.com/doi/epdf/10.1111/mafi.12340en
dc.relation.isversionofjnlpublisherWileyen
dc.subject.ddclabelMicroéconomieen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2022-01-04T11:27:19Z
hal.identifierhal-03529221
hal.version1
dc.subject.classificationjelHALQ.Q4.Q43en
dc.subject.classificationjelHALD.D5.D58en
dc.subject.classificationjelHALD.D5.D51en
hal.date.transferred2022-01-17T14:01:21Z
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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