Bidding in sequential electricity markets: The Nordic case
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Bidding in sequential electricity markets : The Nordic case. / Boomsma, Trine Krogh; Juul, Nina; Fleten, Stein-Erik.
In: European Journal of Operational Research, Vol. 238, No. 3, 2014, p. 797-809.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Bidding in sequential electricity markets
T2 - The Nordic case
AU - Boomsma, Trine Krogh
AU - Juul, Nina
AU - Fleten, Stein-Erik
PY - 2014
Y1 - 2014
N2 - For electricity market participants trading in sequential markets with differences in price levels and risk exposure, it is relevant to analyze the potential of coordinated bidding. We consider a Nordic power producer who engages in the day-ahead spot market and the hour-ahead balancing market. In both markets, clearing prices and dispatched volumes are unknown at the time of bidding. However, in the balancing market, the market participant faces an additional risk of not being dispatched. Taking into account the sequential clearing of these markets and the gradual realization of market prices, we formulate the bidding problem as a multi-stage stochastic program. We investigate whether higher risk exposure may cause hesitation to bid into the balancing market. Furthermore, we quantify the gain from coordinated bidding, and by deriving bounds on this gain, assess the performance of alternative bidding strategies used in practice.
AB - For electricity market participants trading in sequential markets with differences in price levels and risk exposure, it is relevant to analyze the potential of coordinated bidding. We consider a Nordic power producer who engages in the day-ahead spot market and the hour-ahead balancing market. In both markets, clearing prices and dispatched volumes are unknown at the time of bidding. However, in the balancing market, the market participant faces an additional risk of not being dispatched. Taking into account the sequential clearing of these markets and the gradual realization of market prices, we formulate the bidding problem as a multi-stage stochastic program. We investigate whether higher risk exposure may cause hesitation to bid into the balancing market. Furthermore, we quantify the gain from coordinated bidding, and by deriving bounds on this gain, assess the performance of alternative bidding strategies used in practice.
U2 - 10.1016/j.ejor.2014.04.027
DO - 10.1016/j.ejor.2014.04.027
M3 - Journal article
VL - 238
SP - 797
EP - 809
JO - European Journal of Operational Research
JF - European Journal of Operational Research
SN - 0377-2217
IS - 3
ER -
ID: 130290252