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

  [Bibtex]

  @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

  [Bibtex]

  @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

  [Bibtex]

  @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},
  }