Statistical analysis of a competitive day-ahead market coupled with correlated wind production and electric load

Abstract

An increasing concern on wind energy integration is the influence of associated uncertainty on the operation of electricity market. More specifically, correlated time-varying wind power production and electric load may change outcomes of the market operation. To this end, this paper develops a statistical simulation which allows to identify short-term impact of the correlation between the wind power production and the electric load on outcomes of the market operation. The correlation is captured from real-world data of the New England electricity market. A scenario generation technique is proposed to generate correlated scenarios of the wind power production and the electric load. The correlated scenarios are used as input data for simulating a fully competitive day-ahead market. Results show that we underestimate/overestimate the variability of daily operation cost by ignoring negative/positive correlation throughout day. Moreover, limited capacity of transmission lines can intensify underestimation and overestimation errors resulted from ignoring this correlation. These errors may mislead the policy makers about the market risks associated with operation and investment decisions of wind power, specially in the case with limited capacity of transmission lines.