Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/330810 
Year of Publication: 
2024
Citation: 
[Journal:] Decisions in Economics and Finance [ISSN:] 1129-6569 [Volume:] 48 [Issue:] 1 [Publisher:] Springer International Publishing [Place:] Cham [Year:] 2024 [Pages:] 269-299
Publisher: 
Springer International Publishing, Cham
Abstract: 
In this study, we provide a simple one period mean-field-games setting for the joint optimal trading problem for electricity producers in the electricity markets. Based on the Markowitz mean-variance approach from stock trading, we consider a decision problem of an electricity provider when determining the optimal fractions of production that should be traded in the day-ahead and in the intraday markets. Moreover, all such providers are related by a ranking criterion and each one wants to perform as good as possible in this ranking. We first start with a simple model where only the price risk in the intraday market is present and subsequently extend the problem to the cases involving either production and/or demand uncertainty. The key technique is to reduce the optimality conditions to a first order non-linear ordinary differential equation. We will illustrate our findings by various numerical examples. Our findings will in particular be important for electricity producers using renewable resources.
Subjects: 
Mean-field games
Optimal trading
Electricity markets
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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