Abstract
Futures markets are increasingly relevant for trading electric energy as they help to hedge the volatility of the pool prices. In this paper, we analyze the effect of such futures markets on the investment decisions of a strategic electricity producer. To this end, we propose a bilevel model whose upper-level problem represents the investment and offering actions of the producer, and whose multiple lower-level problems represent the clearing of both the futures markets and the pool under different operating conditions. Such model is equivalent to a mathematical program with equilibrium constraints that can be recast as a tractable mixed-integer linear programming problem and that allows assessing the impact of the futures markets on the investment decisions of a strategic producer.
| Original language | English |
|---|---|
| Journal | IEEE Transactions on Power Systems |
| Volume | 27 |
| Issue number | 3 |
| Pages (from-to) | 1467-1476 |
| ISSN | 0885-8950 |
| DOIs | |
| Publication status | Published - 2012 |
| Externally published | Yes |
Keywords
- Electrical and Electronic Engineering
- Energy Engineering and Power Technology
- Arbitrage
- futures market
- generation investment
- MPEC
- spot market
- strategic producer
- Futures market
- Generation investment
- Spot market
- Commerce
- Electric utilities
- Lakes
- Investments
- power markets
- power generation economics
- tractable mixed-integer linear programming problem
- strategic generation investment
- spot markets
- trading electric energy
- pool prices
- strategic electricity producer
- bilevel model
- upper-level problem
- lower-level problems
- mathematical program
- equilibrium constraints
- Production
- Indexes
- Planning
- Computational modeling
- Analytical models
- Mathematical model
- ENGINEERING,
- ELECTRICITY
- COMPETITION
- CONTRACTS
- Generating stations and plants
- Power system management, operation and economics