An Analysis of Threshold Policies for Trading in Continuous Intraday Electricity Markets

Abstract

The large-scale integration of renewable energy resources has increased the uncertainty of power production in short-term operations in recent years. This has increased the need for electricity market participants to balance their position closer to real time, in order to hedge against volatile realtime prices, thus increasing the significance o f i ntraday market trading. Trading in the continuous intraday market (CIM) is a difficult problem because (i) trades can a ppear and disappear at any moment, (ii) the decision of accepting or rejecting a bid is binary, and (iii) acceptance decisions need to be reached quickly in order to lock in interesting trades. In this paper, we show that the problem can be modelled as a one-stage Markov decision process if it is assumed that, by trading, the trader does not influence the real-time price. We focus on trading policies based on price thresholds for arriving rapidly to trading decisions. We analyse the behaviour of price threshold policies, and derive an analytical solution to the problem in particular cases. Finally, we demonstrate the effectiveness of the proposed trading policies by making Cn Cut Cf Cample Cest Cn Che Cerman CIM Chich gives a Crofit C f 2 0 C illions C uros in5 00 hours.