Equilibrium price in intraday electricity markets

• Published in: Mathematical finance Vol. 32; no. 2; pp. 517 - 554
• Main Authors: Aid, René, Cosso, Andrea, Pham, Huyên
• Format: Journal Article
• Language: English
• Published: Oxford Blackwell Publishing Ltd 01.04.2022
• Subjects: Consumption; coupled forward–backward SDE with jumps; Customers; Economic forecasting; Electricity; Energy industry; Equilibrium; Equilibrium methods; equilibrium model; Heterogeneity; intraday electricity markets; Market prices; Markov chains; martingale optimality principle; Martingales; Mathematical models; Sales; Samuelson's effect; Trading

We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously updated forecast of their customers consumption at maturity. Fo...