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q-fin.TR2024
Battery valuation on electricity intraday markets with liquidity costs
Enzo Cognéville, Thomas Deschatre, Xavier Warin
In this paper, we propose a complete modelling framework to value several batteries in the electricity intraday market at the trading session scale. The model consists of a stochas…
q-fin.TR2021★ 1 cited
Electricity intraday price modeling with marked Hawkes processes
Thomas Deschatre, Pierre Gruet
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent differ…