Monetizing Flexibility in Day-Ahead and Continuous Intraday Electricity Markets

Abstract

Abstract The rising share of renewable energies increases supply uncertainty in the energy system. To make short-term adjustments more cost-efficient, the continuous intraday market was introduced. The continuous intraday market allows flexible capacity to exploit the price volatilities by asset-backed trading. In asset-backed trading, flexible capacity is continuously traded depending on the real-time electricity price and the marginal cost for electricity production. However, the flexibility for the continuous intraday market needs already be considered during the commitment on the day-ahead market. Hence, this paper proposes an optimal joint bidding strategy for day-ahead and continuous intraday market participation. For this purpose, we employ option-price theory and stochastic optimization. A case study for a flexible multi-energy system shows savings of 11 % by participating in both markets compared to only the day-ahead market. Thus, the bidding strategy provides efficient decision support in short-term electricity markets.