Optimal bidding in sequential physical markets — A literature review and framework discussion

There are expectations of increased trading of electricity in markets with shorter time horizons than the day-ahead market. As the importance of these markets grows, there is a question of whether the potential for profit in subsequent markets such as the intraday market or balancing market should be taken into account already when preparing the bid for the day-ahead market. This paper reviews studies of optimal bidding where subsequent markets are modeled and summarizes if, and under which conditions, the inclusion of shorter-term markets makes a difference. Finally, the assumptions of the modelers are systemized and discussed in order to prepare a framework for future studies.