A simulation framework for uneconomic virtual bidding in day-ahead electricity markets

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

Virtual bids were introduced in U.S. wholesale electricity markets to exploit arbitrage opportunities arising from expected price differences between day-ahead and real-time energy markets. These financial instruments have interactions with other elements of the electricity market design. For instance, virtual bids may be intended to move day-ahead electricity prices in a direction that enhances the value of Financial Transmission Rights (FTRs) settling at those energy prices. We consider a model of the day-ahead electricity market at one node in the network, under the assumption that virtual bidding does not affect the real-time dispatch of generators. Theoretical results on interior Nash equilibria are presented, assuming virtual bidders can perfectly predict real-time prices and hold no FTRs. We then adopt a kind of hypergame framework to model the day-ahead market, assuming imperfect prediction of real-time prices by different virtual bidders, and present simulation results with and without FTRs. Finally, we discuss two detection mechanisms that may be used by regulators to distinguish between competitive and manipulative market outcomes, as well as trade-offs between specificity and sensitivity.

Original languageEnglish (US)
Title of host publication2017 American Control Conference, ACC 2017
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages2705-2712
Number of pages8
ISBN (Electronic)9781509059928
DOIs
StatePublished - Jun 29 2017
Event2017 American Control Conference, ACC 2017 - Seattle, United States
Duration: May 24 2017May 26 2017

Other

Other2017 American Control Conference, ACC 2017
CountryUnited States
CitySeattle
Period5/24/175/26/17

Fingerprint

Electricity
Power markets

All Science Journal Classification (ASJC) codes

  • Electrical and Electronic Engineering

Cite this

Shan, Y., Lo Prete, C., Kesidis, G., & Miller, D. J. (2017). A simulation framework for uneconomic virtual bidding in day-ahead electricity markets. In 2017 American Control Conference, ACC 2017 (pp. 2705-2712). [7963361] Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.23919/ACC.2017.7963361
Shan, Yuquan ; Lo Prete, Chiara ; Kesidis, George ; Miller, David Jonathan. / A simulation framework for uneconomic virtual bidding in day-ahead electricity markets. 2017 American Control Conference, ACC 2017. Institute of Electrical and Electronics Engineers Inc., 2017. pp. 2705-2712
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Shan, Y, Lo Prete, C, Kesidis, G & Miller, DJ 2017, A simulation framework for uneconomic virtual bidding in day-ahead electricity markets. in 2017 American Control Conference, ACC 2017., 7963361, Institute of Electrical and Electronics Engineers Inc., pp. 2705-2712, 2017 American Control Conference, ACC 2017, Seattle, United States, 5/24/17. https://doi.org/10.23919/ACC.2017.7963361

A simulation framework for uneconomic virtual bidding in day-ahead electricity markets. / Shan, Yuquan; Lo Prete, Chiara; Kesidis, George; Miller, David Jonathan.

2017 American Control Conference, ACC 2017. Institute of Electrical and Electronics Engineers Inc., 2017. p. 2705-2712 7963361.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Shan Y, Lo Prete C, Kesidis G, Miller DJ. A simulation framework for uneconomic virtual bidding in day-ahead electricity markets. In 2017 American Control Conference, ACC 2017. Institute of Electrical and Electronics Engineers Inc. 2017. p. 2705-2712. 7963361 https://doi.org/10.23919/ACC.2017.7963361