Price formation and optimal trading in intraday electricity markets
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Publication:5970800
DOI10.1007/s11579-021-00307-zzbMath1484.91315arXiv2009.04786OpenAlexW3201824281MaRDI QIDQ5970800
Peter Tankov, Laura Tinsi, O. Féron
Publication date: 1 April 2022
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2009.04786
Optimal stochastic control (93E20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Mean field games (aspects of game theory) (91A16)
Related Items (4)
Extended mean field control problem: a propagation of chaos result ⋮ Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium ⋮ Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations ⋮ Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations
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