Bidding in sequential electricity markets: The Nordic case

Trine Krogh Boomsma; Nina Juul; Stein-Erik Fleten

doi:10.1016/j.ejor.2014.04.027

Bidding in sequential electricity markets: The Nordic case

Trine Krogh Boomsma, Nina Juul, Stein-Erik Fleten

Institut for Matematiske Fag

53 Citationer (Scopus)

Abstract

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.

Originalsprog	Engelsk
Tidsskrift	European Journal of Operational Research
Vol/bind	238
Udgave nummer	3
Sider (fra-til)	797-809
ISSN	0377-2217
DOI	https://doi.org/10.1016/j.ejor.2014.04.027
Status	Udgivet - 1 nov. 2014

Adgang til dokumentet

10.1016/j.ejor.2014.04.027

Citationsformater

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AU - Boomsma, Trine Krogh

AU - Juul, Nina

AU - Fleten, Stein-Erik

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Y1 - 2014/11/1

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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.

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DO - 10.1016/j.ejor.2014.04.027

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JO - European Journal of Operational Research

JF - European Journal of Operational Research

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