Arbitrage opportunities between energy, bilateral contracts and ancillary service markets

Author

Çetin, Nebi Onur ; Özkan, Ziya ; Tör, Osman Bülent

Author_Institution

Electr. & Electron. Dept., Middle East Tech. Univ. (METU), Ankara, Turkey

fYear

2011

fDate

1-4 Dec. 2011

Abstract

A competitive generation company (GENCO) can maximize its profit by discovering arbitrage opportunities in electricity markets. This paper formulates a GENCO´s arbitrage problem using price-based unit commitment (PBUC). The GENCO could consider arbitrage between local generation and purchase from energy market for its bilateral contracts, as well as simultaneous trades with spot markets for energy and ancillary services. In this work, arbitrage opportunities among energy, bilateral contract, and ancillary service are discussed based on PBUC that solved by dynamic programming. Given forecasted hourly market prices, a single unit is considered for the analysis of the arbitrage problem. Based on the case studies, the effect of arbitraging for profit maximization is investigated and verified by computer simulations.

Keywords

contracts; dynamic programming; optimisation; power generation dispatch; power generation scheduling; power markets; GENCO arbitrage problem; ancillary service markets; arbitrage opportunities; bilateral contracts; competitive generation company; dynamic programming; electricity markets; energy contracts; energy market; local generation; price-based unit commitment; profit maximization; spot markets; trades; Contracts; Dynamic programming; Optimized production technology; Power generation; Power markets; Schedules; Spinning;

fLanguage

English

Publisher

ieee

Conference_Titel

Electrical and Electronics Engineering (ELECO), 2011 7th International Conference on

Conference_Location

Bursa

Print_ISBN

978-1-4673-0160-2

Type

conf

Filename

6140234