University of Luxemburg
will give a presentation on
We consider the problem of a power generating company with storage capacity that trades in a multi-settlement electricity market with a day-ahead auction and a continuous intraday market. The company submits bids one day ahead of delivery before prices are known, but has the option to adjust its positions by placing buy and sell orders in the intraday order book. Most generating companies do not coordinate these decisions, but independently construct day-ahead bids and then trade intraday products using simple trade rules. We prove that under a coordinated policy, it is optimal to reserve capacity for the intraday market. To calculate the added value for real storage assets, we propose a multistage stochastic program and show how to compute lower bounds of the optimal objective value. We develop a joint price model for the EPEX SPOT day-ahead and intraday market and calculate the value of coordination for different types of grid energy storage. We find that the value is higher for large assets with high price impact and that coordinated day-ahead bids equal average hourly intraday positions.