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

By Chiheb Ben Hammouda, Michael Samet, Raúl Tempone

Published 2026-08-30

Everscope rating

1915.3

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

4 / 5

About this paper

Methodology: Three-Stage Stochastic Optimal Control with IMEX Finite-Difference Scheme. Problem types: Optimization, Algorithmic Execution, Portfolio Optimization, Risk Management, Stochastic Control.

arXiv:2604.27700 · Paper rankings

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