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Optimal bidding strategies on the power market based on the stochastic models

  • Magdalena Weglarz
  • Agnieszka Wylomanska

In this paper we concentrate on power producers’ strategies on the electricity market with contracts and Asian-type call options for power delivery. We propose stochastic asymmetric supply function equilibrium and Cournot models that are based on the assumption of the stochastic behavior of electricity prices. We demonstrate how in this stochastic case the considered derivatives influence on the power producers’ profits. In order to demonstrate theoretical results to the analysis we use the real electricity prices.

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File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_10_06.pdf
File Function: Original version, 2010
Download Restriction: no

Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/10/06.

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Length: 8 pages
Date of creation: 2010
Date of revision:
Publication status: Published in the Proceedings of the Modern Electric Power Systems MEPS'10 International Symposium, September 20-22, 2010, Wroc³aw, Poland.
Handle: RePEc:wuu:wpaper:hsc1006
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  1. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
  2. repec:spr:compst:v:69:y:2009:i:3:p:579-592 is not listed on IDEAS
  3. Ross Baldick & Ryan Grant & Edward Kahn, 2004. "Theory and Application of Linear Supply Function Equilibrium in Electricity Markets," Journal of Regulatory Economics, Springer, vol. 25(2), pages 143-167, 03.
  4. Klemperer, Paul D & Meyer, Margaret A, 1989. "Supply Function Equilibria in Oligopoly under Uncertainty," Econometrica, Econometric Society, vol. 57(6), pages 1243-77, November.
  5. Magdalena Borgosz-Koczwara & Aleksander Weron & Agnieszka Wyłomańska, 2009. "Stochastic models for bidding strategies on oligopoly electricity market," Mathematical Methods of Operations Research, Springer, vol. 69(3), pages 579-592, July.
  6. Green, Richard, 1999. "The Electricity Contract Market in England and Wales," Journal of Industrial Economics, Wiley Blackwell, vol. 47(1), pages 107-24, March.
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