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Agent based modeling for intraday electricity markets

Author

Listed:
  • Andrea Alberizzi

    (University of Pavia)

  • Paolo Barba

    (University of Pavia)

  • Florian Ziel

    (University of Duisburg-Essen)

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.

Suggested Citation

  • Andrea Alberizzi & Paolo Barba & Florian Ziel, 2025. "Agent based modeling for intraday electricity markets," OPSEARCH, Springer;Operational Research Society of India, vol. 62(1), pages 178-197, March.
    • Handle: RePEc:spr:opsear:v:62:y:2025:i:1:d:10.1007_s12597-024-00805-w
    DOI: 10.1007/s12597-024-00805-w
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    References listed on IDEAS

    as
    1. Narajewski, Michał & Ziel, Florian, 2020. "Econometric modelling and forecasting of intraday electricity prices," Journal of Commodity Markets, Elsevier, vol. 19(C).
    2. Narajewski, Michał & Ziel, Florian, 2022. "Optimal bidding in hourly and quarter-hourly electricity price auctions: Trading large volumes of power with market impact and transaction costs," Energy Economics, Elsevier, vol. 110(C).
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    5. Micha{l} Narajewski & Florian Ziel, 2021. "Optimal bidding in hourly and quarter-hourly electricity price auctions: trading large volumes of power with market impact and transaction costs," Papers 2104.14204, arXiv.org, revised Feb 2022.
    6. Micha{l} Narajewski & Florian Ziel, 2020. "Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories," Papers 2005.01365, arXiv.org, revised Aug 2020.
    7. Narajewski, Michał & Ziel, Florian, 2020. "Ensemble forecasting for intraday electricity prices: Simulating trajectories," Applied Energy, Elsevier, vol. 279(C).
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