European day-ahead electricity market coupling: Discussion, modeling, and case study

Abstract

Currently, the integration of European Electricity Market (EEM) has led to a single European Day-Ahead Market (DAM) with multiple-areas considered as bidding zones. In the near future, the EEM will spread to the Intra-day and Balancing market. To operate the DAM, a market clearing tool (algorithm) has been developed by market operators. The development of this algorithm corresponds to three primary principles: (i) one single framework, (ii) robust operation, and (iii) individual accountability. However, this algorithm is not available to the research community. In this paper, the authors develop a complete European DAM model in General Algebraic Modelling System (GAMS), formulating it as a Mix Integer Quadratic Constraint Problem (MIQCP) and iterative procedure, to mitigate the non-convexity of electricity prices across Europe due to the “fill or kill” condition of block, complex and Prezzo Unico Nazionale (PUN) orders. Eventually, two case studies reflecting the current European DAM evaluated the model, aiming to confirm its robustness and reliability.