英文标题：
《An optimal trading problem in intraday electricity markets》
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作者：
Ren\\\'e A\\\"id, Pierre Gruet, Huy\\^en Pham
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最新提交年份：
2015
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英文摘要：
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.
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中文摘要：
我们在日内电力市场的背景下考虑发电商的最优交易问题。其目的是最大限度地减少随机剩余电力需求所导致的不平衡成本，即客户的消费减去可再生能源的生产。对于一个简单的线性价格影响模型和一个二次标准，我们明确地获得了日内市场和火力发电的近似最优策略，并展示了交易率的一些显著性质。此外，我们还研究了需求预测和日内价格出现跳跃的情况，通常是由于风力发电预测中的错误。最后，我们解决了在考虑火电生产延迟约束时的问题。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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