3 papers
math.PR2025
Some limit theorems for locally stationary Hawkes processes
Thomas Deschatre, Pierre Gruet, Antoine Lotz
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties…
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.ST2023
A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation
Thomas Deschatre, Xavier Warin
In this paper, we propose a multidimensional statistical model of intraday electricity prices at the scale of the trading session, which allows all products to be simulated simulta…