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Data-Driven Stochastic Optimal Control for Intraday Electricity Trading by Renewable Producers

Hammouda, Chiheb Ben et al.
arXiv (All) · Papers
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49l2565m0693e20mathematical-finance
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time stochastic optimal control framework for intraday electricity tr
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