Price formation and optimal trading in intraday electricity markets

We develop a tractable equilibrium model for price formation in intraday electricity markets the presence of intermittent renewable generation. Using stochastic control theory, we identify optimal strategies agents with market impact and exhibit Nash closed form finite number as well asymptotic framework mean field games. Our reproduces empirical features prices, such increasing volatility at approach delivery date correlation between infeed forecasts, relates these characteristics like liquidity, agents, imbalance penalty.