Short Term Bidding Strategies for a Generation Company in the Iberian Electricity Market

Publication TypeThesis
Year of Publication2011
AuthorsCristina Corchero
Academic DepartmentDept. of Statistics and Operations Research. Prof. F.-Javier Heredia, advisor.
Number of Pages166
UniversityUniversitat Politècnica de Catalunya
DegreePhD Thesis
Key Wordsresearch; teaching; DPI2008-02153; electricity markets; stochastic programming; MIBEL
AbstractThe start-up of the Iberian Electricity Market introduced a set of new mechanisms in the Spanish electricity sector that forced the agents participating in the market to change their management policies. This situation created a great opportunity for studying the bidding strategies of the generation companies in this new framework. This thesis focuses on the short-term bidding strategies of a price-taker generation company that bids daily in the Iberian Electricity Market. We will center our bidding strategies on the day-ahead market because 80% of the electricity that is consumed daily in Spain is negotiated there and also because it is the market where the new mechanisms are integrated. One of the main contributions of this thesis has been the study the Spanish electricity price time series and its modeling by means of factor models. In this thesis, the new mechanism introduced by the Iberian Market that a fects the physical operation of the units is described. In particular, it considers in great detail the inclusion of the physical futures contracts and the bilateral contracts into the day-ahead market bid of the generation companies. The rules of the market operator have been explicitly taken into account within the mathematical models, along with all the classical operational constraints that a fect the thermal and combined cycle units. The expression of the optimal bidding functions are derived and proved. Once these main objectives were full filed, we improved the previous models with an approach to the modeling of the influence that the sequence of very short markets have on optimal day-ahead bidding. These markets are cleared just before and during the day in which the electricity will be consumed and the opportunity to obtain benefi t from them changes the optimal day-ahead bidding strategies of the generation company, as it has been shown in this thesis. The entire models presented in this work have been tested using real data from a generation company and Spanish electricity prices. Suitable results have been obtained and discussed.
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