Optimal cross-border electricity trading

DOI10.1137/21M1398537MaRDI QIDQ5065091zbMATH OpenOpenAlexFDO

Authors Álvaro Cartea, Maria Flora, Georgi Slavov, Tiziano Vargiolu

Publication date 18 March 2022

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/21m1398537

zbMATH Keywords

co-integrationcross-border price impactelectricity interconnectorelectricity networkstochastic optimal control

Mathematics Subject Classification ID

Trade models (91B60) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Optimal stochastic control (93E20)

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Cites work

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• A two-factor model for the electricity forward market
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• scientific article; zbMATH DE number 1156422 (Why is no real title available?)
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• Intraday renewable electricity trading: advanced modeling and numerical optimal control
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• OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

Cited in

(3)

• Common action and electricity trade in Northern Europe
• A cross-border market model with limited transmission capacities
• The EU regulation on cross-border trade of electricity: a two-stage equilibrium model

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