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2020

Price formation and optimal trading in intraday electricity markets

Féron, Olivier, Tankov, Peter, Tinsi, Laura

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We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation.

Using stochastic control theory, we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in closed form for a finite number of agents as well as in the asymptotic framework of mean field games.
Our model reproduces the empirical features of intraday market prices, such as increasing price volatility at the approach of the delivery date and the correlation between price and renewable infeed forecasts, and relates these features with market characteristics like liquidity, number of agents, and imbalance penalty.

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