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

Harvard

Boomsma, TK, Juul, N & Fleten, S-E 2014, 'Bidding in sequential electricity markets: The Nordic case', European Journal of Operational Research, vol. 238, no. 3, pp. 797-809. https://doi.org/10.1016/j.ejor.2014.04.027

APA

Boomsma, T. K., Juul, N., & Fleten, S-E. (2014). Bidding in sequential electricity markets: The Nordic case. European Journal of Operational Research, 238(3), 797-809. https://doi.org/10.1016/j.ejor.2014.04.027

Vancouver

Boomsma TK, Juul N, Fleten S-E. Bidding in sequential electricity markets: The Nordic case. European Journal of Operational Research. 2014;238(3):797-809. https://doi.org/10.1016/j.ejor.2014.04.027

Author

Boomsma, Trine Krogh ; Juul, Nina ; Fleten, Stein-Erik. / Bidding in sequential electricity markets : The Nordic case. In: European Journal of Operational Research. 2014 ; Vol. 238, No. 3. pp. 797-809.

Bibtex

@article{a4255aa320354b55b9ba4a79cced13a1,
title = "Bidding in sequential electricity markets: The Nordic case",
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.",
author = "Boomsma, {Trine Krogh} and Nina Juul and Stein-Erik Fleten",
year = "2014",
doi = "10.1016/j.ejor.2014.04.027",
language = "English",
volume = "238",
pages = "797--809",
journal = "European Journal of Operational Research",
issn = "0377-2217",
publisher = "Elsevier",
number = "3",

}

RIS

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