An optimal trading problem in intraday electricity markets

René Aïd (1) , Pierre Gruet (2) , Huyên Pham (2, 3)

1 FiME Lab - Laboratoire de Finance des Marchés d'Energie
2 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
3 CREST - Centre de Recherche en Économie et Statistique

We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the clients minus the production from renewable energy. For a simple linear price impact model and a quadratic criterion, we explicitly obtain approximate optimal strategies in the intraday market and thermal power generation, and exhibit some remarkable properties of the trading rate. Furthermore, we study the case when there are jumps on the demand forecast and on the intraday price, typically due to error in the prediction of wind power generation. Finally, we solve the problem when taking into account delay constraints in thermal power production.

Mots clés: JEL Classification: G11; Q02; Q40

Domaines: Économie et finance quantitative [q-fin]

René Aïd, Pierre Gruet, Huyên Pham. An optimal trading problem in intraday electricity markets . 2015. ⟨hal-01104829⟩