Abstract
We study day-ahead bidding strategies for wind farm operators under a one-price balancing scheme, prevalent in European electricity markets. In this setting, the profit-maximising strategy becomes an all-or-nothing strategy, where the offered quantity only depends on the expected day-ahead and balancing prices, to take advantage of open positions in the balancing market. However, balancing prices are hard, if not impossible, to forecast in the day-ahead stage and therefore open positions can result in serious financial losses during imbalance settlement. This paper addresses day-ahead bidding as a decision-making problem under uncertainty, aiming to maximise expected profit while reducing the financial risk related to the strategy. To this end, we develop a stochastic optimisation problem with explicit constraints on the positions in the balancing market, providing risk certificates, and derive an analytical solution to this problem. Moreover, we show how the price-impact of the trading strategy on the balancing market can be included in the ex-post evaluation. Using real data from the Belgian electricity market and an offshore wind farm in the North Sea, we demonstrate that the all-or-nothing strategy can negatively impact the balancing price, resulting in long-term losses for the wind farm. Our risk constrained strategy, however, can still significantly enhance operational profit compared to traditional point-forecast bidding.
Original language | English |
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Title of host publication | Proceedings of 6th International Workshop on Energy Data and Analytics (EDA) |
Number of pages | 8 |
Publisher | Association for Computing Machinery |
Publication status | Accepted/In press - 2025 |
Event | 6th International Workshop on Energy Data and Analytics - Rotterdam, Netherlands Duration: 17 Jun 2025 → 17 Jun 2025 |
Conference
Conference | 6th International Workshop on Energy Data and Analytics |
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Country/Territory | Netherlands |
City | Rotterdam |
Period | 17/06/2025 → 17/06/2025 |
Keywords
- Day-ahead bidding strategy
- One-price balancing scheme
- Stochastic optimisation
- Offshore wind farms