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• W3048395616 abstract "Up to congestion (UTC) is a type of financial product available in the nodal electricity markets of the United States, based on which a financial participant can earn profits by utilizing the different congestion and loss components of the electricity prices in the day-ahead (DA) and real-time (RT) markets. This paper proposes the UTC bidding strategy by using stochastic optimization technique, where the uncertain electricity prices on the UTC transaction paths are represented via scenario sets. In the established stochastic model, the total expected profit and the Conditional Value at Risk (CVaR) of the UTC bidding strategy are maximized simultaneously considering risk management, where the risk preference of financial participant is characterized by using a risk aversion parameter. By solving the proposed stochastic model, non-increasing DA UTC bidding curves can be generated for all the time periods of the next operating day, where the credit requirements for UTC transactions are taken into account in detail. Finally, to verify the effectiveness of the proposed strategy, case studies are carried out based on the historical data and trading policies of the Pennsylvania-New Jersey-Maryland (PJM) electricity market, and the UTC bidding strategies generated by different models are analyzed. The numeral results indicate that, compared to the deterministic UTC bidding strategy, the proposed stochastic strategy can bring much higher expected profit and lower potential risks for the financial participant. Moreover, by adjusting the risk aversion parameter in the proposed model, the risks can be managed efficiently according to the financial participant’s preference." @default.
• W3048395616 created "2020-08-18" @default.
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• W3048395616 date "2020-01-01" @default.
• W3048395616 modified "2023-10-18" @default.
• W3048395616 title "Stochastic Up to Congestion Bidding Strategy in the Nodal Electricity Markets Considering Risk Management" @default.
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• W3048395616 doi "https://doi.org/10.1109/access.2020.3015025" @default.
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