Analysis of electricity market
Modelling of electricity markets to forecast prices and market shares of the agents, and to define ideal strategies
During the last decade, a majority of OECD countries have undertaken a restructuring of their electricity systems, liberalizing the sector and thus leading to electricity markets. These markets pose significant complexity both for the variety (markets “spot” of daily term auctions, retail contracts, bilateral OTC markets, etc). There are frequent changes in the regulatory framework, and above all in the technical restrictions that an electricity system should be subjected to.
The expansion of renewable energies contributes to this complexity by introducing new independent producers (wind, photovoltaic, combined cycle), so that the number of agents operating in the market increases significantly.
In this context, the observation of the different markets is essential to fully exploit the opportunities that appear. The existence of several interrelated markets, with different timescales and technical constraints specific to the operation of the transmission network, require careful planning of intervention strategies.
AIA has developed a method for modelling electricity markets based on Game Theory. The agents compete to sell the energy they are able to generate. A number of contextual variables such as demand, renewable and hydropower production have an impact on the outcome of the demand.
Each of the agents is characterized by parameters such as production capacity, production costs, etc and an objective function, which it attempts to maximize.
Given that the integral market consists of several markets with different time horizons, the risk and the attitude of the staff towards the same is another central ingredient that characterizes the agents, and modulates their particular objective function.
Agents’ actions are routed to find ideal strategies that maximize their objective function operating in all available markets.
- Estimate matching curves at different time horizons and thus obtain an estimate of future prices.
- Estimate the agent’s position in futures markets, and thus get an idea of the evolution of various market shares.
- Consequently, to help a rational planning strategy with different terms, and take into account the risk profile to assume.
AIA has successfully applied these methods of electricity market analyses in various stages:
- HADA System for ideal design of bidding strategies in the electricity market, installed by one of the largest producers in the Spanish market.
- BUHO System for intelligent observation and extraction of relevant information from the results of the Electricity Market.
- Identification of the re-dispatches by Technical Restrictions and forecast prices for themselves.
- Sign forecast market biases to correct energy supply and minimize penalties.
- Market Design of algorithms for new markets.
- Optimising daily deals market.