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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…
q-fin.TR2015
An optimal trading problem in intraday electricity markets
René Aïd, Pierre Gruet, Huyên Pham
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random resi…