Intraday renewable electricity trading: advanced modeling and numerical optimal control

Abstract

As an extension of (Progress in industrial mathematics at ECMI 2018, pp. 469-475, 2019), this paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation. The model allows to incorporate market data e.g. for half-spread and immediate price impact. The optimal trading and generation strategy of an agent is derived as the viscosity solution of a second-order Hamilton-Jacobi-Bellman (HJB) equation for which no closed-form solution can be given. We construct a numerical approximation allowing us to use continuous input data. Numerical results for a portfolio consisting of three conventional units and wind power are provided.

Intraday Electricity Pricing of Night Contracts

“…In particular, liquidity on the intraday electricity market increases and, thus, interarrival times decrease towards gate closure. as shown by [6,17,21,35]. This behavior is typical for financial markets whose underlying design corresponds to a forward market [see, e.g., [36] for a recent empirical study on the German electricity futures market].…”

“…Let us consider the median significant coefficient of √ ∆t, which amounts to −0.078 and it is observed for contract Q3: if no transaction is conducted within one minute, the price is expected to decrease by roughly 0.08 EUR/MWh on average; if no transaction is conducted within 60 min., the price is expected to decrease by √ 60 × 0.078 EUR/MWh ≈ 0.60 EUR/MWh on average. Depending on the time to gate closure, typical bid-ask spreads on the German intraday electricity market vary in the range of 1-7.5 EUR/MWh [17,35]. Hence, the expected average price decrease resulting from √ ∆t is comparatively small.…”

“…[10][11][12][13] examine the impact of renewable power generation and its forecast errors on intraday electricity prices; Refs. [14][15][16][17] derive optimal trading strategies for an agent who aims at marketing both renewable and conventional power on the intraday market; Refs. [7,18,19] provide forecasting studies for intraday electricity prices; Refs.…”

An econometric model for intraday electricity trading

“…Hence, it is desirable to trade as close to delivery beginning as possible. [18,19] document an increasing liquidity towards gate closure for hourly contracts on the German intraday electricity market, too.…”

Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market

“…An analysis of the ID 3 prices of the individual contracts, considering the individual trades, was carried out by [24], and [25] were engaged in price forecasting of hourly contracts. A mathematical model for intraday power trading that involves both renewable and conventional generation was presented by [26]. Finally, the arrival of orders for the continuous intraday market was analyzed by [27].…”