An optimal trading problem in intraday electricity markets

详细信息    查看全文

• 作者：René Aïd ; Pierre Gruet ; Huyên Pham
• 关键词：Optimal trading ; Intraday electricity markets ; Renewable energy ; Linear ; quadratic control problem ; Jumps ; Delay ; G11 ; Q02 ; Q40 ; 35Q93 ; 49J20 ; 60H30 ; 91G80
• 刊名：Mathematics and Financial Economics
• 出版年：2016
• 出版时间：January 2016
• 年：2016
• 卷：10
• 期：1
• 页码：49-85
• 全文大小：2,758 KB
• 参考文献：1.Aïd, R.: Electricity Derivatives. Springer briefs in quantitative finance. Springer, Cham (2015)MATH CrossRef
  2.Almgren, R., Chriss, N.: Optimal execution of portfolio transactions. J. Risk 3, 5–39 (2000)
  3.Bensoussan, A., Bertrand, P., Brouste, A.: A generalized model approach to seasonal aspects of wind speed modeling. J. Appl. Stat. 41(8), 1694–1707 (2014)MathSciNet CrossRef
  4.Garnier, E., Madlener, R.: Balancing forecast errors in continuous-trade intraday markets. FCN WP 2/2014, RWTH Aachen University School of Business and Economics, (2014)
  5.Giebel, G., Kariniotakis, G., Brownsword, R., Denhard, M., Draxl, C.: The state-of-the-art in short-term prediction of wind power. A literature overview. 2nd Edition. In Deliverable Report D1.2 of the Anemos Project (ENK5-CT-2002-00665), (2011)
  6.Guéant, Olivier, Lehalle, Charles-Albert, Fernandez-Tapia, Joaquin: Optimal portfolio liquidation with limit orders. SIAM J. Financ. Math. 3(1), 740–764 (2012)MATH CrossRef
  7.Henriot, A.: Market design with centralised wind power management: handling low-predictability in intraday markets. Energy J. 35(1), 99–117 (2014)CrossRef
  8.Øksendal, B., Sulem, A.: Applied Stochastic Control of Jump Diffusions. Universitext, 2nd edn. Springer, Berlin (2007)CrossRef
  9.Pham, H.: Continuous-time Stochastic Control and Optimization with Financial Applications, Vol. 61 of Stochastic Modelling and Applied Probability. Springer, Berlin (2009)CrossRef
  10.Schied, A., Slynko, A.: Some mathematical aspects of market impact modeling. In Surveys in stochastic processes, EMS Series of Congress Report, pages 153–179. European Mathematical Society, Zürich, (2011)
  11.Williams, D.: Probability with Martingales. Cambridge Mathematical Text. Cambridge University Press, Cambridge (1991)MATH CrossRef
  
• 作者单位：René Aïd (1)
  Pierre Gruet (2)
  Huyên Pham (3)
  
  1. EDF R&D and Finance for Energy Market Research Centre, Clamart, France
  2. LPMA, Université Paris Diderot, Paris, France
  3. LPMA, Université Paris-Diderot and CREST-ENSAE, Paris, France
  
• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics
  Quantitative Finance
  Finance and Banking
  Financial Economics
  Game Theory and Mathematical Methods
  Applications of Mathematics
  Statistics for Business, Economics, Mathematical Finance and Insurance
  
• 出版者：Springer Berlin / Heidelberg
• ISSN：1862-9660

文摘

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