Intraday Training
Due to the growth of renewable energy, the future perspective of energy markets is seen in short-term trading markets. In this work, we consider the intraday trading of electricity and derive a second-order Hamilton-Jacobi-Bellman (HJB) equation for this setting. As the intraday products are traded hourly, our aim is to find an optimal trading strategy within every hour using the most recent information on the market. To obtain such an optimal trading strategy, we solve the nonlinear HJB equation. As no closed-form solution exists for this particular problem, we require a fine discretization such that the full complexity of the problem can be represented. We introduce the parametric formulation of our HJB equation, in which the parameter is the incoming data of the market.