Agent based modeling for intraday electricity markets

Andrea Alberizzi (), Paolo Barba () and Florian Ziel ()
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Andrea Alberizzi: University of Pavia
Paolo Barba: University of Pavia
Florian Ziel: University of Duisburg-Essen

OPSEARCH, 2025, vol. 62, issue 1, No 8, 178-197

Abstract: Abstract In recent years, the strong growth of renewable energy sources has led to considerable instability in the electricity markets. As a consequence, this has increased trading activities in the continuous intraday market, especially close to delivery. This work presents an agent-based model that is able to reproduce the continuous market evolution, distinguishing players in dispatchable and non-dispatchable power plants and analyzing the behavior and interactions between them. All players behave rationally, trying to maximize their revenues and minimize imbalances. The results show that the model is able to reproduce the main characteristics of the continuous intraday electricity market, such as the price path strongly dependent on internal and external information, such as the wind production forecast, possible outages, an increase in order arrival towards the end of the trading session and weak market efficiency. The strategies assigned to each agent have been formulated taking into account statistical analyses of historical orders placed during continuous trading in different European bidding zones. The analyses have been carried out in a scenario composed of thermal plants with different marginal costs and wind agents, but the flexibility of the model gives the possibility to study many different scenarios.

Keywords: Continuous trading; Renewable energies; Power system; Bidding strategy (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s12597-024-00805-w

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