Equilibrium price in intraday electricity markets

DOI10.1111/mafi.12340zbMath1521.91339arXiv2010.09285MaRDI QIDQ6054419

Andrea Cosso, René Aïd, Huyên Pham

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.09285

zbMATH Keywords

equilibrium modelintraday electricity marketsmartingale optimality principlecoupled forward-backward SDE with jumpsSamuelson's effect

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Martingales and classical analysis (60G46) Financial markets (91G15)

Cites Work

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• Optimal Trading Policies for Wind Energy Producer
• Price formation and optimal trading in intraday electricity markets
• Electricity Intraday Price Modelling with Marked Hawkes Processes

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