Notes on joint equilibrium of day-ahead and real-time markets
نویسنده
چکیده
We consider a day-ahead electricity market where a central operator forecasts the dayahead demands and where there may be some price elasticity. The day-ahead market clears based on the day-ahead bids. There is also a real-time deviations market, which clears the difference between the day-ahead demand and the real-time demand, which is modeled as a random variable. We observe that in the absence of arbitrage, the expected value of the realtime price is lower than the day-ahead price.
منابع مشابه
Impacts of Premium Bounds on the Operation of Put Option and Day-ahead Electricity Markets
In this paper, the impacts of premium bounds of put option contracts on the operation of put option and day-ahead electricity markets are studied. To this end, first a comprehensive equilibrium model for a joint put option and day-ahead markets is presented. Interaction between put option and day-ahead markets, uncertainty in fuel price, impact of premium bounds, and elasticity of con...
متن کاملHow Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing?
In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncerta...
متن کاملHow Does Large-scale Wind Power Generation Affect Energy and Reserve Prices?
Intermittent nature of wind power faced ISO and power producers with new challenges. Wind power uncertainty has increased the required reserve capacity and deployment reserve. Consequently, large-scale wind power generation increases ISO costs and consequently reserve prices. On the other hand, since wind power producers are price taker, large-scale wind power generation decreases residual dema...
متن کاملAgent-Based Modeling of Day-Ahead Real Time Pricing in a Pool-Based Electricity Market
In this paper, an agent-based structure of the electricity retail market is presented based on which day-ahead (DA) energy procurement for customers is modeled. Here, we focus on operation of only one Retail Energy Provider (REP) agent who purchases energy from DA pool-based wholesale market and offers DA real time tariffs to a group of its customers. As a model of customer response to the offe...
متن کاملModeling and Detecting Bidding Anomalies in Day-ahead Electricity Markets
Virtual bids were introduced in U.S. wholesale electricity markets to exploit arbitrage opportunities arising from expected price differences between day-ahead and real-time energy markets. These financial instruments have interactions with other elements of the electricity market design. For instance, virtual bids could affect day-ahead market-clearing prices so as to enhance the value of Fina...
متن کامل