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Laura TINSI (CREST, LFA) "Price formation and optimal trading in intraday electricity markets"

February 3, 2020 @ 3:30 pm - 4:15 pm | Organizers: Peter TANKOV, Caroline HILLAIRET

1st Monday of each month
Time: 3:30 pm – 4:15 pm
Date: 03th of February 2020
Place: Room 3105
Laura TINSI (CREST, LFA) “Price formation and optimal trading in intraday electricity markets”
Abstract : We study price formation in intraday electricity markets in the presence of heterogeneous agents, asymmetric information and intermittent generation. We use stochastic control theory to identify 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 setting of Mean field games. We show that our model is able to reproduce some empirical facts observed in the market (price impact, volatility), and allows producers to deal with risks and costs related to intermittent renewable generation.
Joint work with : Olivier Féron, Peter Tankov