A computational tool for trading in a competitive electricity market

Author

Song, Haili ; Liu, Chen-Ching

Author_Institution

Dept. of Electr. Eng., Washington Univ., Seattle, WA, USA

Volume

1

fYear

2000

fDate

2000

Firstpage

26

Abstract

The authors analyzed the pricing of `flexible contracts´ that allow electricity delivery flexibility over a period of time with a fixed total amount of electricity to be delivered. The fair price of a flexible contract is determined from a risk neutral market participant´s viewpoint. The price of such a contract is evaluated with respect to the spot market. The authors have developed an algorithm based on the stochastic optimization approach. The no-arbitrage principle is used to determine the price for a bilateral contract so that a buyer can not re-sell to the spot market and a seller cannot buy from the spot market and gain a profit. The proposed algorithm calculates the price based on the optimality condition of the stochastic optimization formulation of the pricing problem

Keywords

contracts; electricity supply industry; optimisation; power system economics; stochastic processes; tariffs; bilateral contract; competitive electricity market; computational trading tool; electricity delivery flexibility; flexible contracts; no-arbitrage principle; optimality condition; pricing problem; risk neutral market participant; spot market; stochastic optimization approach; stochastic optimization formulation; Contracts; Electricity supply industry; Environmental economics; Power engineering; Power engineering computing; Power generation economics; Power industry; Pricing; Software tools; Stochastic processes;

fLanguage

English

Publisher

ieee

Conference_Titel

Power Engineering Society Winter Meeting, 2000. IEEE

Print_ISBN

0-7803-5935-6

Type

conf

DOI

10.1109/PESW.2000.849920

Filename

849920