Fields Colloquium

Event Information Price Formation in Electricity Markets
14:10 on Wednesday September 05, 2018
15:00 on Wednesday September 05, 2018
Stewart Library, Fields Institute, 222 College St.
Diogo Gomes
https://www.kaust.edu.sa/en/study/faculty/diogo-gomes
King Abdullah University of Science and Technology

Here, we introduce a price-formation model where a large number of small players can store and trade electricity. Our model is a constrained mean-field game (MFG) where the price is a Lagrange multiplier for the supply vs. demand balance condition. We establish the existence of a unique solution using a fixed-point argument. In particular, we show that the price is well-defined and it is a Lipschitz function of time. Then, we study linear-quadratic models that can be solved explicitly and compare our model with real data.