Optimal trading policies for wind energy producer - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue SIAM Journal on Financial Mathematics Année : 2018

Optimal trading policies for wind energy producer

Résumé

We study the optimal trading policies for a wind energy producer who aims to sell the future production in the open forward, spot, intraday and adjustment markets , and who has access to imperfect dynamically updated forecasts of the future production. We construct a stochastic model for the forecast evolution and determine the optimal trading policies which are updated dynamically as new forecast information becomes available. Our results allow to quantify the expected future gain of the wind producer and to determine the economic value of the forecasts.
Fichier principal
Vignette du fichier
trading_policies2.pdf (742.12 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01348828 , version 1 (25-07-2016)

Identifiants

Citer

Zongjun Tan, Peter Tankov. Optimal trading policies for wind energy producer. SIAM Journal on Financial Mathematics, 2018, 9 (1), pp.315--346. ⟨10.1137/16M1093069⟩. ⟨hal-01348828⟩
491 Consultations
431 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More