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

5 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
PublisherInstitute of Electrical and Electronic Engineers IEEE
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

Publication series

Name
ISSN (Electronic)2378-3915

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). Institute of Electrical and Electronic Engineers IEEE. 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. Institute of Electrical and Electronic Engineers IEEE, 2016. pp. 166-170
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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. Institute of Electrical and Electronic Engineers IEEE, 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. Institute of Electrical and Electronic Engineers IEEE, 2016. p. 166-170.

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

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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 - Software agents

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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. Institute of Electrical and Electronic Engineers IEEE. 2016. p. 166-170 https://doi.org/10.1109/DEXA.2016.045