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Optimal bidding in multiperiod day-ahead electricity markets assuming non-uniform uncertainty of clearing prices

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  • D'avid Csercsik
  • Mih'aly Andr'as V'aghy

Abstract

In a recent publication, using a simple two-period model, which is already capable to capture essential non-convex multiperiod bids, Richstein et al. have shown that in the case of optimal bidding, multi-part bidding always ensures a higher expected profit for the bidder, compared to simple bidding and block-bidding. The model proposed in their analysis assumes a uniform distribution of the market-clearing prices in both periods. In this paper, we study how the conclusions of the analysis are affected, if a very simple, symmetric, stepwise-constant but non-uniform distribution is assumed in the case of the market-clearing price. We show that the results of Richstein et al. also hold in this case.

Suggested Citation

  • D'avid Csercsik & Mih'aly Andr'as V'aghy, 2025. "Optimal bidding in multiperiod day-ahead electricity markets assuming non-uniform uncertainty of clearing prices," Papers 2510.07025, arXiv.org.
    • Handle: RePEc:arx:papers:2510.07025
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    References listed on IDEAS

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    3. Antonio J. Conejo & Miguel Carrión & Juan M. Morales, 2010. "Decision Making Under Uncertainty in Electricity Markets," International Series in Operations Research and Management Science, Springer, number 978-1-4419-7421-1, December.
    4. Haifeng Zhang & Feng Gao & Jiang Wu & Kun Liu & Xiaolin Liu, 2012. "Optimal Bidding Strategies for Wind Power Producers in the Day-ahead Electricity Market," Energies, MDPI, vol. 5(11), pages 1-20, November.
    5. Richstein, Jörn C. & Lorenz, Casimir & Neuhoff, Karsten, 2020. "An auction story: How simple bids struggle with uncertainty," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 89, pages 1-1.
    6. repec:taf:applec:45:y:2013:i:18:p:2683-2693 is not listed on IDEAS
    7. Ronald Huisman & Mehtap Kili砍, 2013. "A history of European electricity day-ahead prices," Applied Economics, Taylor & Francis Journals, vol. 45(18), pages 2683-2693, June.
    8. Meeus, Leonardo & Verhaegen, Karolien & Belmans, Ronnie, 2009. "Block order restrictions in combinatorial electric energy auctions," European Journal of Operational Research, Elsevier, vol. 196(3), pages 1202-1206, August.
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