Day-Ahead Market Bidding for a NordicHydropower Producer: Taking the ElbasMarket into Account

Abstract

In many power markets around the world the energy generation decisions result from two-sidedauctions in which producing and consuming agents submit their price-quantity bids. Thedetermination of optimal bids in power markets is a complicated task that has to be undertakenevery day. In the present work, we propose an optimization model for a price-taker hydropowerproducer in Nord Pool that takes into account the uncertainty in market prices and both productionand physical trading aspects. The day-ahead bidding takes place a day before the actual operation and energy delivery. After this round of bidding, but before actual operation, some adjustments in the dispatched power (accepted bids) have to be done, due to uncertainty in prices, inflow and load. Such adjustments can be done in the Elbas market, which allows for trading physical electricity up to one hour before the operation hour. This paper uses stochastic programming to determine the optimal bidding strategy and the impact of the possibility to participate in the Elbas.ARMAX and GARCH techniques are used to generate realistic market price scenarios taking intoaccount both day-ahead price and Elbas price uncertainty. The results show that considering Elbas when bidding in the day-ahead market does not significantly impact neither the profit nor the recommended bids of a typical hydro producer.