Agent-Based Simulation of Day-Ahead Energy Markets: Impact of Forecast Uncertainty and Market Closing Time on Energy Prices

Hugo Algarvio, Antonio Couto, Fernando Lopes, Ana Estanqueiro, Hannele Holttinen, João Santana

    Research output: Chapter in Book/Report/Conference proceedingConference article in proceedingsScientificpeer-review

    6 Citations (Scopus)

    Abstract

    This article uses an agent-based system to analyzethe potential impact of variable generation on wholesale electricity markets. In particular, it presents a case study to analyse the impact of both wind forecast errors and high levels of wind generation on the outcomes of the day-ahead market. The case study involves six representative days and three simulations (for each day): a base case, where the market closes at 12:00 noon and the bids of a wind producer agent are based on a forecast performed 12 to 36 hours ahead, an updated forecast case, where the market closes at 8:00 p.m., and a perfect case, where production data is offered. The simulation results indicate that wind power forecast uncertainty may influence market-clearing prices, highlighting the importance of potential adaptations to the day-ahead closing time.
    Original languageEnglish
    Title of host publicationDatabase and Expert Systems Applications (DEXA), 2016 27th International Workshop on
    PublisherIEEE Institute of Electrical and Electronic Engineers
    Pages166-170
    ISBN (Electronic)978-1-5090-3635-6
    ISBN (Print)978-1-5090-3636-3
    DOIs
    Publication statusPublished - 2016
    MoE publication typeA4 Article in a conference publication
    Event27th International Workshop on Database and Expert Systems Application - Porto, Portugal
    Duration: 5 Sep 20168 Sep 2016

    Conference

    Conference27th International Workshop on Database and Expert Systems Application
    Abbreviated titleDEXA 2016
    CountryPortugal
    CityPorto
    Period5/09/168/09/16

    Fingerprint

    Wind power
    Uncertainty
    Power markets

    Keywords

    • agent-based simulation
    • electricity markets
    • renewable generation
    • Software agents
    • Wind power forecasting

    Cite this

    Algarvio, H., Couto, A., Lopes, F., Estanqueiro, A., Holttinen, H., & Santana, J. (2016). Agent-Based Simulation of Day-Ahead Energy Markets: Impact of Forecast Uncertainty and Market Closing Time on Energy Prices. In Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on (pp. 166-170). IEEE Institute of Electrical and Electronic Engineers . https://doi.org/10.1109/DEXA.2016.045
    Algarvio, Hugo ; Couto, Antonio ; Lopes, Fernando ; Estanqueiro, Ana ; Holttinen, Hannele ; Santana, João. / Agent-Based Simulation of Day-Ahead Energy Markets : Impact of Forecast Uncertainty and Market Closing Time on Energy Prices. Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on. IEEE Institute of Electrical and Electronic Engineers , 2016. pp. 166-170
    @inproceedings{752bef2d2ca543c79d38f5aaff73a496,
    title = "Agent-Based Simulation of Day-Ahead Energy Markets: Impact of Forecast Uncertainty and Market Closing Time on Energy Prices",
    abstract = "This article uses an agent-based system to analyzethe potential impact of variable generation on wholesale electricity markets. In particular, it presents a case study to analyse the impact of both wind forecast errors and high levels of wind generation on the outcomes of the day-ahead market. The case study involves six representative days and three simulations (for each day): a base case, where the market closes at 12:00 noon and the bids of a wind producer agent are based on a forecast performed 12 to 36 hours ahead, an updated forecast case, where the market closes at 8:00 p.m., and a perfect case, where production data is offered. The simulation results indicate that wind power forecast uncertainty may influence market-clearing prices, highlighting the importance of potential adaptations to the day-ahead closing time.",
    keywords = "agent-based simulation, electricity markets, renewable generation, Software agents, Wind power forecasting",
    author = "Hugo Algarvio and Antonio Couto and Fernando Lopes and Ana Estanqueiro and Hannele Holttinen and Jo{\~a}o Santana",
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    Algarvio, H, Couto, A, Lopes, F, Estanqueiro, A, Holttinen, H & Santana, J 2016, Agent-Based Simulation of Day-Ahead Energy Markets: Impact of Forecast Uncertainty and Market Closing Time on Energy Prices. in Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on. IEEE Institute of Electrical and Electronic Engineers , pp. 166-170, 27th International Workshop on Database and Expert Systems Application, Porto, Portugal, 5/09/16. https://doi.org/10.1109/DEXA.2016.045

    Agent-Based Simulation of Day-Ahead Energy Markets : Impact of Forecast Uncertainty and Market Closing Time on Energy Prices. / Algarvio, Hugo; Couto, Antonio; Lopes, Fernando; Estanqueiro, Ana; Holttinen, Hannele; Santana, João.

    Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on. IEEE Institute of Electrical and Electronic Engineers , 2016. p. 166-170.

    Research output: Chapter in Book/Report/Conference proceedingConference article in proceedingsScientificpeer-review

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    AU - Lopes, Fernando

    AU - Estanqueiro, Ana

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    AB - This article uses an agent-based system to analyzethe potential impact of variable generation on wholesale electricity markets. In particular, it presents a case study to analyse the impact of both wind forecast errors and high levels of wind generation on the outcomes of the day-ahead market. The case study involves six representative days and three simulations (for each day): a base case, where the market closes at 12:00 noon and the bids of a wind producer agent are based on a forecast performed 12 to 36 hours ahead, an updated forecast case, where the market closes at 8:00 p.m., and a perfect case, where production data is offered. The simulation results indicate that wind power forecast uncertainty may influence market-clearing prices, highlighting the importance of potential adaptations to the day-ahead closing time.

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    KW - renewable generation

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    Algarvio H, Couto A, Lopes F, Estanqueiro A, Holttinen H, Santana J. Agent-Based Simulation of Day-Ahead Energy Markets: Impact of Forecast Uncertainty and Market Closing Time on Energy Prices. In Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on. IEEE Institute of Electrical and Electronic Engineers . 2016. p. 166-170 https://doi.org/10.1109/DEXA.2016.045