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2022
Price formation and optimal trading in intraday electricity markets
Mathematics and financial economics, vol. 16, iss. 2, pp. 205-237, 2022.
By O. Féron, P. Tankov, and L. Tinsi@article{Féron2022205, author={Féron, O. and Tankov, P. and Tinsi, L.}, title={Price formation and optimal trading in intraday electricity markets}, journal={Mathematics and Financial Economics}, year={2022}, volume={16}, number={2}, pages={205-237}, doi={10.1007/s11579-021-00307-z}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85115369756&doi=10.1007%2fs11579-021-00307-z&partnerID=40&md5=cb54480e48908e1e65381dd298d6e8c8}, publisher={Springer Science and Business Media Deutschland GmbH}, }
Stochastic optimization with dynamic probabilistic forecasts
Annals of operations research, , 2022.
By P. Tankov and L. Tinsi@article{Tankov2022, author={Tankov, P. and Tinsi, L.}, title={Stochastic optimization with dynamic probabilistic forecasts}, journal={Annals of Operations Research}, year={2022}, doi={10.1007/s10479-022-04913-y}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85136202166&doi=10.1007%2fs10479-022-04913-y&partnerID=40&md5=5ce55eca468573c455be435c1549db3f}, publisher={Springer}, }
2020
Price formation and optimal trading in intraday electricity markets with a major player
Risks, vol. 8, iss. 4, pp. 1-21, 2020.
By O. Féron, P. Tankov, and L. Tinsi@article{Féron20201, author={Féron, O. and Tankov, P. and Tinsi, L.}, title={Price formation and optimal trading in intraday electricity markets with a major player}, journal={Risks}, year={2020}, volume={8}, number={4}, pages={1-21}, doi={10.3390/risks8040133}, art_number={133}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85097553301&doi=10.3390%2frisks8040133&partnerID=40&md5=3ae667c2ea9eb8ca42e02f251daa0320}, publisher={MDPI AG}, }