Mathematics and Financial Economics

, Volume 10, Issue 1, pp 49–85

An optimal trading problem in intraday electricity markets

Article

Abstract

We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the clients minus the production from renewable energy. For a simple linear price impact model and a quadratic criterion, we explicitly obtain approximate optimal strategies in the intraday market and thermal power generation, and exhibit some remarkable properties of the trading rate. Furthermore, we study the case when there are jumps on the demand forecast and on the intraday price, typically due to error in the prediction of wind power generation. Finally, we solve the problem when taking into account delay constraints in thermal power production.

Keywords

Optimal trading Intraday electricity markets Renewable energy Linear-quadratic control problem Jumps Delay 

JEL Classification

G11 Q02 Q40 

Mathematics Subject Classification

35Q93 49J20 60H30 91G80 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2015

Authors and Affiliations

  1. 1.EDF R&D and Finance for Energy Market Research CentreClamartFrance
  2. 2.LPMAUniversité Paris DiderotParisFrance
  3. 3.LPMAUniversité Paris-Diderot and CREST-ENSAEParisFrance

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