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

    Keywords

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

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  • 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