Trading in the Continuous Intraday Market

The latest market available before delivery time in Europe is the continuous intraday market. This market is therefore an attractive trading outlet for two types of assets:

  • flexible assets that target at extracting value from their flexibility, and
  • renewable assets that wish to cover the change in their expected production.

Trading in this market is challenging due to the multistage nature of the problem, its high uncertainty, and the fact that decisions need to be reached rapidly, in order to lock in profitable trades. In this research, we model the trading problem using the Markov Decision Process framework and solve it, at high frequency, using Reinforcement Learning techniques.

Scheme of the interaction between our trading agent and our market simulator.

Evolution of our trading agent profit through the interaction with the market simulator.

Read more:

G. Bertrand, A. Papavasiliou. Adaptive Trading in Continuous Intraday Electricity Markets for a Storage Unit, IEEE Transactions on Power Systems, vol. 35, no. 3, pp. 2339 – 2350, May 2020.