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Price formation and optimal trading in intraday electricity markets with a major player

Citations

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Cited by:

  1. Ruimeng Hu & Mike Ludkovski & Hezhong Zhang, 2026. "Modeling Stochastic Multi-Agent Interaction in Intraday Battery Energy Storage Dispatch with Market Power," Papers 2605.01178, arXiv.org.
  2. Masaaki Fujii & Akihiko Takahashi, 2021. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," CARF F-Series CARF-F-529, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  3. Yufan Chen & Lan Wu & Renyuan Xu & Ruixun Zhang, 2024. "Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players," Papers 2408.09505, arXiv.org.
  4. Masaaki Fujii & Akihiko Takahashi, 2022. "Equilibrium Price Formation with a Major Player and its Mean Field Limit (Forthcoming in ESAIM: Control, Optimization and Calculus of Variations)(Revised version of CARF-F-509)," CARF F-Series CARF-F-533, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  5. Ren'e Aid & Andrea Cosso & Huy^en Pham, 2020. "Equilibrium price in intraday electricity markets," Papers 2010.09285, arXiv.org.
  6. Masaaki Fujii, 2022. "Equilibrium Pricing of Securities in the Co-Presence of Cooperative and Non-Cooperative Populations," CIRJE F-Series CIRJE-F-1201, CIRJE, Faculty of Economics, University of Tokyo.
  7. Sema Coskun & Ralf Korn, 2025. "A mean field game model for optimal trading in the intraday electricity market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 269-299, June.
  8. Masaaki Fujii, 2020. "Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations," CARF F-Series CARF-F-497, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  9. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," CARF F-Series CARF-F-509, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  10. Aurore Dupré & Philippe Drobinski & Jordi Badosa & Christian Briard & Peter Tankov, 2020. "The Economic Value of Wind Energy Nowcasting," Energies, MDPI, vol. 13(20), pages 1-20, October.
  11. David Evangelista & Yuri Thamsten, 2023. "Approximately optimal trade execution strategies under fast mean-reversion," Papers 2307.07024, arXiv.org, revised Aug 2023.
  12. Masaaki Fujii, 2023. "Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations (Forthcoming in ESAIM: Control, Optimisation and Calculus of Variations) (Revised version of CARF-F-545)," CARF F-Series CARF-F-562, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  13. Masaaki Fujii & Akihiko Takahashi, 2021. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," CIRJE F-Series CIRJE-F-1180, CIRJE, Faculty of Economics, University of Tokyo.
  14. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," Papers 2102.10756, arXiv.org, revised Feb 2022.
  15. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CARF F-Series CARF-F-495, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  16. Masaaki Fujii, 2022. "Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations," Papers 2209.12639, arXiv.org, revised Jun 2023.
  17. René Aid & Andrea Cosso & Huyên Pham, 2022. "Equilibrium price in intraday electricity markets," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 517-554, April.
  18. Masaaki Fujii & Akihiko Takahashi, 2021. "``Equilibrium Price Formation with a Major Player and its Mean Field Limit''," CIRJE F-Series CIRJE-F-1162, CIRJE, Faculty of Economics, University of Tokyo.
  19. Masaaki Fujii, 2022. "Equilibrium Pricing of Securities in the Co-presence of Cooperative and Non-cooperative Populations," CARF F-Series CARF-F-545, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  20. Eyal Neuman & Moritz Voß, 2023. "Trading with the crowd," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 548-617, July.
  21. Eyal Neuman & Moritz Vo{ss}, 2021. "Trading with the Crowd," Papers 2106.09267, arXiv.org, revised Mar 2023.
  22. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CIRJE F-Series CIRJE-F-1156, CIRJE, Faculty of Economics, University of Tokyo.
  23. Peter Tankov & Laura Tinsi, 2021. "Decision making with dynamic probabilistic forecasts," Papers 2106.16047, arXiv.org.
  24. Masaaki Fujii & Akihiko Takahashi, 2020. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," Papers 2010.09186, arXiv.org, revised Dec 2021.
  25. Enzo Cogn'eville & Thomas Deschatre & Xavier Warin, 2024. "Battery valuation on electricity intraday markets with liquidity costs," Papers 2412.15959, arXiv.org.
  26. Sebastian Jaimungal, 2022. "Reinforcement learning and stochastic optimisation," Finance and Stochastics, Springer, vol. 26(1), pages 103-129, January.
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