Coordinated bidding in sequential electricity markets: Effects of price-making
研究在三个顺序电力市场（平衡备用、日前和日内市场）中协调投标的收益，发现协调投标可提高约18%的平均收入，且收益受日内市场价格影响。
As the uncertainty and time granularity of short-term electricity markets increase and as intraday trading gains importance, deriving good trading decisions becomes increasingly complex. This paper analyses the potential benefit of coordinating bids in three sequential electricity markets using a three-stage stochastic optimisation. The modelled markets include a typical European market setting consisting of a balancing reserve, a day-ahead, and an intraday market. Due to limited intraday market liquidity, the trading strategies also take price impacts into account. The results indicate that coordinated bidding can increase profitability, with the extent of gains depending on the price impacts. In a case study with a biomass and photovoltaic portfolio operating in Germany, we find that coordinated bidding increases the average revenue by around 18% over all analysed type days. As renewable generation continues to increase, trading strategies that coordinate bids across markets are expected to become increasingly important. • A three-stage stochastic optimisation capturing price-making and its effects. • A demonstration of coordinated bidding importance with liquid intraday markets. • Quantification of coordination gain reduction with price-making in intraday markets. • A case study investigating bidding strategies with coordinated and myopic bidding. • Coordinated bidding shifts volume from the day-ahead market to the intraday market.