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2542. The Effects of Multi-Market Participation on Day-Ahead Trading of an Electricity Producer

Invited abstract in session MB-9: Electricity Market Design, stream Energy Markets.

Monday, 10:30-12:00
Room: 10 (building: 116)

Authors (first author is the speaker)

1. Helmi Hankimaa
Department of Mathematics and Systems Analysis, Aalto University
2. Bruno Fanzeres
Industrial Engineering, Pontifical Catholic University of Rio de Janeiro
3. Fabricio Oliveira
Mathematics and Systems Analysis, Aalto University

Abstract

The green transition has accelerated the expansion of variable renewable energy generation, most prominently wind generation. This significant penetration of wind power amplifies the need for reserve capacity and adjusting commitments close to dispatch. While these needs are recognised, whether current market prices incentivise generation companies to participate in reserve and intraday markets is unclear.

This work investigates whether price signals provide adequate incentives in these markets and how multi-market participation affects trading on the primary market for electricity, the day-ahead market, from a single-agent perspective. To that end, we propose a profit-maximising offer-strategy optimisation model for a price-taker in the Nordic day-ahead market and a reserve market. Uncertainties in market outcomes, intraday trading opportunities, renewable generation, and imbalance settlement are accounted for.

Incentives for and the effects of multi-market participation were assessed in a case study. Our results indicate that current price signals incentivise multi-market participation, which is seen from an increase in expected profits. We also observed that anticipating reserve and intraday market opportunities had an impact on day-ahead trading. Furthermore, a bias according to expectations regarding the system imbalance was identified. In fact, under certain circumstances, day-ahead offer curves in multi-market offer strategies resembled the use of market power.

Keywords

Status: accepted

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