Investigating Price Formation Enhancements in Non-Convex Electricity Markets as Renewable Generation Grows

2022 ◽  
Vol 43 (01) ◽  
Author(s):  
Ali Daraeepour ◽  
Eric D. Larson ◽  
Chris Greig
Risks ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 133
Author(s):  
Olivier Féron ◽  
Peter Tankov ◽  
Laura Tinsi

We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory, we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in a closed form in the asymptotic framework of mean field games with a major player.


2017 ◽  
Author(s):  
Cameron Hughes ◽  
Caitlin Graham ◽  
Charles July ◽  
Adam Brown ◽  
Thomas Schubert ◽  
...  

In the wake of dramatic policy changes commencing in late 2015, including the Government of Alberta’s announcement of the Climate Leadership Plan, the Renewable Energy Program, and the decision to introduce a parallel capacity market into Alberta’s previous energy-only market, the future of Alberta’s electricity market is uncertain. However, regulatory intervention in an attempt to improve the function of electricity markets and encourage renewable generation is not a new concept.Other jurisdictions, including the United Kingdom, Germany, and jurisdictions in the United States, have used regulatory intervention to address issues in energy markets and to drive renewable generation. Regulatory intervention in these jurisdictions has not always achieved the intended consequences. In some cases, regulatory intervention has exacerbated issues it intended to solve, or created new problems. In other cases, regulatory intervention has relatively improved the function of electricity markets and incited renewable generation. This paper considers the evolution of energy policy and competing policy drivers, including system reliability, use of sustainable fuels to generate electricity, and price surges. The paper will discuss the success and failure of regulatory intervention in select jurisdictions, and how these lessons might apply in the new age of Alberta’s electricity market.


Author(s):  
Marcel Kremer ◽  
Rüdiger Kiesel ◽  
Florentina Paraschiv

This paper develops an econometric price model with fundamental impacts for intraday electricity markets of 15-min contracts. A unique dataset of intradaily updated forecasts of renewable power generation is analysed. We use a threshold regression model to examine how 15-min intraday trading depends on the slope of the merit order curve. Our estimation results reveal strong evidence of mean reversion in the price formation mechanism of 15-min contracts. Additionally, prices of neighbouring contracts exhibit strong explanatory power and a positive impact on prices of a given contract. We observe an asymmetric effect of renewable forecast changes on intraday prices depending on the merit-order-curve slope. In general, renewable forecasts have a higher explanatory power at noon than in the morning and evening, but price information is the main driver of 15-min intraday trading. This article is part of the theme issue ‘The mathematics of energy systems’.


2006 ◽  
Vol 126 (3) ◽  
pp. 327-335 ◽  
Author(s):  
Toshihisa Kadoya ◽  
Tetsuo Sasaki ◽  
Akihiko Yokoyama ◽  
Satoru Ihara

Author(s):  
Jacob Mays

Summary of Contribution This article was inspired by price formation changes recently proposed and implemented in several U.S. wholesale electricity markets. The analysis draws from and contributes to three lines of literature. First, the paper specifies two mechanisms that lead to inefficient and inconsistent prices in real-world markets. Second, the article illustrates the importance of considering uncertainty in evaluating policies for pricing in nonconvex markets and observes that convex hull pricing, sometimes described as an ?ideal? due to its uplift-minimizing property in deterministic analyses, can perform poorly in settings with uncertainty. Lastly, the paper strengthens the theoretical basis for operating reserve demand curves by connecting their parameterization to outcomes expected in efficient stochastic markets.


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