AA4 – Energy and Markets

Project

AA4-4

Stochastic modeling of intraday electricity markets

Project Heads

Dörte Kreher, Markus Reiß

Project Members

Cassandra Milbradt (HU) 

Project Duration

01.01.2019 – 31.12.2021

Located at

HU Berlin

Description

This project aims at developing infinite dimensional stochastic models for cross-border intraday electricity markets with continuous trading, with a special focus on the newly launched integrated European intraday electricity market XBID. Starting from a microscopic description of the market model, we will derive heavy traffic approximations of the system dynamics yielding a tractable description of the volumes, prices, and available transmission capacities via (stochastic) (partial) differential equations.

Project Webpages

Selected Publications

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