Equilibria in futures and spot electricity markets

Carlos Ruiz, Jalal Kazempour, Antonio J. Conejo

Research output: Contribution to journalJournal articleResearchpeer-review


We describe a model to analyze the equilibrium encompassing an electricity futures market and a number of electricity spot markets sequentially arranged along the time horizon spanned by the futures market. Profit-maximizing strategic electricity producers react to both prices and rival production changes, in both the spot and the futures markets. At each time period, the total demand is considered to depend linearly on the spot price of the considered time period, and the futures market price is assumed to equal the average spot price over the time horizon. Equilibrium conditions at each spot market are described as a function of the futures market decision variables, which in turn allows describing the equilibrium in the futures market implicitly enforcing equilibrium in each spot market. The proposed model allows deriving analytical expressions that characterize such multi-market equilibrium and that can be recast as a mixed linear complementarity problem. This model is useful to gain insight on the outcomes and characteristics of the considered multi-market equilibrium. Such insight may allow the regulator to better design the futures and spot trading floors, their rules and sequential timing. It may also allow producers to increase the effectiveness of their respective offering strategies. (C) 2011 Elsevier B.V. All rights reserved.
Original languageEnglish
JournalElectric Power Systems Research
Issue number1
Pages (from-to)1-9
Number of pages9
Publication statusPublished - 2012
Externally publishedYes


  • Energy Engineering and Power Technology
  • Electrical and Electronic Engineering
  • Conjectural variation
  • Electricity market
  • Futures market
  • MLCP
  • Spot market
  • Conjectural variations
  • Costs
  • Electric utilities
  • Electricity
  • Profitability
  • Commerce
  • Power system management, operation and economics
  • power markets
  • power system economics
  • spot electricity markets
  • time horizon
  • rival production
  • spot trading floors
  • sequential timing
  • profit-maximizing strategic electricity production

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