  Electricity markets differ in their ability to meet power imbalances in short
notice in a controlled fashion. Relatively flexible markets have the ability to
ramp up (or down) power flows across interties without compromising their
ability to reliably meet internal demand. In this paper, a market mechanism to
enable flexibility trading amongst market operators is introduced. In the
proposed market mechanism, market operators exchange information regarding
optimal terms of trade (nodal prices and flows) along interconnection lines at
every trading round. Equipped with this information, each market operator then
independently solves its own internal chance-constrained economic dispatch
problem and broadcasts the updated optimal terms of trade for flows across
markets. We show the proposed decentralized market mechanism for flexibility
trading converges to a Nash equilibrium of the intraday market coupling game,
i.e. a combination of internal market clearing solutions (one for each
participating market) and flows and prices along interconnection lines so that
no individual market operator has an incentive to modify its own internal
solution and/or the terms of trade along interties. For a specific class of
chance constraints, we show that the limiting equilibrium outcome is efficient,
i.e. it corresponds to the solution of the single market clearing problem for
all participating markets. The proposed market mechanism is illustrated with an
application to the three-area IEEE Reliability Test System.

Computer Science and Game Theory