论文标题
在日内电力市场的价格形成和最佳交易
Price formation and optimal trading in intraday electricity markets
论文作者
论文摘要
我们开发了一个可拖动的平衡模型，用于在间歇性可再生生成的情况下在盘中电力市场中的价格形成。使用随机控制理论，我们确定具有市场影响力的代理商的最佳策略，并以有限数量的代理以及平均野外游戏的渐近框架以封闭形式表现出NASH平衡。我们的模型再现了日内市场价格的经验特征，例如在交货日期的价格上提高了价格波动以及价格和可再生灭发性预测之间的相关性，并将这些特征与市场特征相关联，例如流动性，代理商数量和不平衡罚款。
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the 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 framework of mean field games. Our model reproduces the empirical features of intraday market prices, such as increasing price volatility at the approach of the delivery date and the correlation between price and renewable infeed forecasts, and relates these features with market characteristics like liquidity, number of agents, and imbalance penalty.
