论文标题
与主要参与者的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 with a major player
论文作者
论文摘要
我们在间歇性可再生一代的存在下研究日内电力市场的价格形成。我们考虑主要生产商可以与大量小型生产商进行战略性互动的环境。使用随机控制理论，我们确定具有市场影响的代理商的最佳策略，并在具有主要参与者的平均野外游戏渐近框架中以封闭形式表现出NASH平衡。这是[Féron，Tankov和Tinsi，在盘中电力市场中的价格形成和最佳贸易的伴侣论文，Arxiv：2009.04786，2020]，其中在相同代理的环境中开发了类似的模型。
We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in closed form in the asymptotic framework of mean field games with a major player. This is a companion paper to [Féron, Tankov, and Tinsi, Price formation and optimal trading in intraday electricity markets, arXiv:2009.04786, 2020], where a similar model is developed in the setting of identical agents.
