Contract design in electricity markets with high penetration of renewables: A two-stage approach

The interplay between risk aversion and financial derivatives has received increasing attention since the advent of electricity market liberalization. One important challenge in this context is how to develop economically efficient cost-effective models integrate renewable energy sources (RES) market, which constitutes a relatively new exciting field research. This paper proposes game-theoretical equilibrium model that characterizes interactions oligopolistic generators two-stage under presence high RES penetration. Given conventional with generation cost uncertainty intermittent stochastic capacity, we consider single futures contract cleared prior spot where delivery takes place. We introduce physical contracts evaluate their performance assess impact on outcomes examine these depend level Since participants are usually averse, coherent measure introduced deal both neutral averse generators. derive analytical relationships contracts, study implications uncertainties, test proposed its main properties through numerical examples. Our results show overall prices, costs, profits, quantities for decrease, whereas profits increase Hence, efficiently mitigate uncertainties help integration into system. However, each type different quantitative impacts outcomes. Moreover, increases profit decreases generators’ levels competition by shielding them from associated cost, demand, uncertainties.