This paper derives revenue-maximising and risk-constrained strategies for stochastic generators participating in electricity markets with a single-price balancing mechanism. The solution to this problem requires forecasts of multiple processes: the participant’s energy production, day-ahead and balancing electricity prices, and the system length. By formulating the problem from a probabilistic ...

The National Electricity Market is the centerpiece of the Australian restructured electricity industry. It is a spot market in which prices are determined on a five-minute basis but half-hour averages are used for commercial transactions. The five-minute prices are broadcast to participants so that the can respond while the prices are still avoidable. An approximate form of nodal pricing is

The aim of this paper is to present impact studies of economic and environment related constraints on the German electricity spot market. The analysis was carried out using the system dynamics based model for the German electricity market, called “Zertsim”. The model was applied for the first time in a workshop with entrepreneurs from the region of Karlsruhe in Germany. One result of the worksh...

We analyze a market game where firms choose capacities under uncertainty about future market conditions and make output choices after uncertainty has unraveled. We show existence and uniqueness of equilibrium under imperfect competition and establish that capacity choices by strategic firms are generally too low from a welfare point of view. We also demonstrate that strategic firms choose even ...

Using a linear complementarity approach, we simulate the Japanese wholesale electricity market as a transmission-constrained Cournot market. Following Hobbs (2001), our model adopts the Cournot assumption in the energy market and the Bertrand assumption in the transmission market. The Bertrand assumption means that generators consider transmission charges as being exogenous, which can be interp...

We address the problem of pricing contingent claims written on electricity. The special feature of this paper is to consider contract pricing within a market for power producing plants. Calculating equilibrium prices for this market, we obtain a valuation for electricity contingent claims which is fair in the sense that arbitrage is excluded for capacity and claim trading.

The introduction of competition in the electricity sector around the globe is aimed at improving efficiency in production, transmission and distribution of electrical energy. Privatization and deregulation in this sector are also intended to attract players and investments in the markets as well as to ensure competitive electricity price. This paper presents the use of an agent-based simulation...

This is a project report from the Power Systems Engineering Research Center (PSERC). PSERC is a multi-university Center conducting research on challenges facing a restructuring electric power industry and educating the next generation of power engineers. More information about PSERC can be found at the Center's website: Notice Concerning Copyright Material PSERC members are given permission to ...