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Optimal trading policies for wind energy producer

Author

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  • Zongjun Tan

    (LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique)

  • Peter Tankov

    (LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité)

Abstract

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.

Suggested Citation

  • Zongjun Tan & Peter Tankov, 2018. "Optimal trading policies for wind energy producer," Post-Print hal-01348828, HAL.
    • Handle: RePEc:hal:journl:hal-01348828
    DOI: 10.1137/16M1093069
    Note: View the original document on HAL open archive server: https://hal.science/hal-01348828
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    References listed on IDEAS

    as
    1. Arthur Henriot, 2014. "Market Design with Centralized Wind Power Management: Handling Low-predictability in Intraday Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
    2. René Aïd & P. Gruet & H. Pham, 2016. "An optimal trading problem in intraday electricity markets," Post-Print hal-01609481, HAL.
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