Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player

Olivier Féron, Peter Tankov, Laura Tinsi
2020 Risks  
We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory, we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in a closed form in the asymptotic framework of mean field games with a major player. This is a companion paper to [Féron, Tankov and Tinsi
more » ... nkov and Tinsi (2020), Price formation and optimal trading in intraday electricity markets. arXiv:2009.04786], where a similar model is developed in the setting of identical agents.
doi:10.3390/risks8040133 fatcat:cubwyaklpzgf7pkumulennodde