Journal
IEEE TRANSACTIONS ON POWER SYSTEMS
Volume 27, Issue 3, Pages 1467-1476Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TPWRS.2011.2182664
Keywords
Arbitrage; futures market; generation investment; MPEC; spot market; strategic producer
Categories
Funding
- Junta de Comunidades de Castilla-La Mancha [POII11-0102-0275]
- Ministry of Science and Technology of Spain through CICYT [DPI2009-09573]
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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.
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