Analyzing Trade in Continuous Intra-Day Electricity Market: An Agent-Based Modeling Approach

Priyanka Shinde, Ioannis Boukas, David Radu, Miguel Manuel de Villena and Mikael Amelin
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Priyanka Shinde: Division of Electric Power and Energy Systems, KTH Royal Institute of Technology, 11428 Stockholm, Sweden
Ioannis Boukas: Department of Electrical Engineering and Computer Science, University of Liège, 4000 Liège, Belgium
David Radu: Department of Electrical Engineering and Computer Science, University of Liège, 4000 Liège, Belgium
Miguel Manuel de Villena: Department of Electrical Engineering and Computer Science, University of Liège, 4000 Liège, Belgium
Mikael Amelin: Division of Electric Power and Energy Systems, KTH Royal Institute of Technology, 11428 Stockholm, Sweden

Energies, 2021, vol. 14, issue 13, 1-31

Abstract: In recent years, the vast penetration of renewable energy sources has introduced a large degree of uncertainty into the power system, thus leading to increased trading activity in the continuous intra-day electricity market. In this paper, we propose an agent-based modeling framework to analyze the behavior and the interactions between renewable energy sources, consumers and thermal power plants in the European Continuous Intra-day (CID) market. Additionally, we propose a novel adaptive trading strategy that can be used by the agents that participate in CID market. The agents learn how to adapt their behavior according to the arrival of new information and how to react to changing market conditions by updating their willingness to trade. A comparative analysis was performed to study the behavior of agents when they adopt the proposed strategy as opposed to other benchmark strategies. The effects of unexpected outages and information asymmetry on the market evolution and the market liquidity were also investigated.

Keywords: intra-day electricity markets; agent-based modeling; adaptive learning; renewable energy sources (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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