Price formation and optimal trading in intraday electricity markets

DOI10.1007/978-3-030-87473-5_26zbMath1497.91212OpenAlexW3215835403MaRDI QIDQ5918547

O. Féron, Laura Tinsi, Peter Tankov

Publication date: 24 October 2022

Published in: Network Games, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-87473-5_26

zbMATH Keywords

stochastic gameselectricity marketsrenewable energies

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (3)

Equilibrium price in intraday electricity markets ⋮ A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets ⋮ Machine learning architectures for price formation models

Cites Work

• An optimal trading problem in intraday electricity markets
• Mean field games
• An extended mean field game for storage in smart grids
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• Optimal Trading Policies for Wind Energy Producer
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
• Trading algorithms with learning in latent alpha models
• Probabilistic Theory of Mean Field Games with Applications I

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