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