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- Volatility spillovers in the Iberian electricity marketPublication . Vicente, João; Martins, Ana Alexandra; Lagarto, João; Sousa, Jorge A. M.With the globalization of the world economy, the relationships between commodities, financial and other markets are relevant. Although the electricity market is a more recent kind of market, it is still related with other markets, such as, commodities markets (natural gas, coal, oil), and carbon emissions markets. In this work, we propose to study the interconnections between the day-ahead Iberian electricity market (MIBEL) and the commodities markets, as well as, the carbon emissions markets between 2010 and 2016. To achieve this purpose, we use the Diebold-Yilmaz framework, which proposes measures of the interdependence of returns and volatilities through variance decomposition of forecasted error variances in a generalized vector autoregressive model. Results show that the markets that had a higher influence in MIBEL in the analyzed period were the TTF and Zeebrugge natural gas markets and the markets that MIBEL most influenced were the Coal (API2) and CER market.
- Modeling maximum day-ahead market price using circular statistical methodsPublication . Martins, Ana Alexandra; Lagarto, João; Sousa, Jorge A. M.Electricity day-ahead market price and traded quantity present a distinct pattern between peak and off-peak hours, following a pattern that tends to repeat over a 24-hour time cycle. The cyclic nature of these variables enables the use of circular statistics. Circular statistics is a set of techniques for modelling the random nature of directional data, which are typically expressed as angular measurements, which can be used to analyze any kind of data that are cyclic in nature, such as time-of-day data measured on a 24h clock. In this study, the circular statistical methods are used for analyzing the maximum values of day-ahead market price in the Iberian Electricity Market (MIBEL). The data considered in this study refer to the hourly price of electricity observed in the MIBEL, for Portugal and Spain. Also, variables that have influence on the electricity market prices such as demand, production by technology, namely hydro, coal, CCGT and Special Regime Production (production from CHP, wind, photovoltaic, small hydro, etc.) and the strategic behavior of market participants are also analyzed using circular statistics methods. The analysis performed allowed to conclude that circular statistical methods are a powerful tool to understand market price behavior.
- Modeling of cyclic events in electricity markets using circular statistical methodsPublication . Freitas, Daniel; Martins, Ana Alexandra; Lagarto, JoãoIn the current operation of electricity markets, market price and quantity present a distinct pattern between peak and off-peak hours. This pattern tends to repeat over a 24-hour time cycle. The purpose of this study is to analyze the maximum values of day-ahead market prices, considering the time of day when the maximum values are reached and the respective quantity traded. The cyclical nature of these variables allows the use of circular statistical methods that can be used to analyze any kind of data that are cyclic in nature, like time-of-day data measured on a 24h-clock. This study applies this methodology in analyzing the maximum day-ahead market prices in the Iberian electricity market (MIBEL) between 2012 and 2014 enabling the analysis over the years and between seasons. Results show that circular statistics methods enable to bring important insights into the characterization of electricity market price behavior.
- Multi-market optimal scheduling of a power generation portfolio with a price-maker pumped-storage hydro unitPublication . Lagarto, João; Fernandes, Filipe; Sousa, Jorge A. M.; Santana, JoãoThe increasing integration of renewables in the energy markets has been raising some challenges to generating companies (GENCOs), in terms of operation and planning of their generation portfolios. A GENCO aiming at maximizing its profits has to deal with offers to several available markets, among which are the Day-ahead Market (DAM) and the Secondary Reserve Market (SRM). This paper presents a scheduling solution of a price-maker GENCO whose portfolio includes a pumped-storage hydro unit, acting simultaneously in the DAM and SRM. The results were obtained for six different scenarios, where the portfolio may include a thermal generation unit and compares the GENCO behavior in both markets either as a price-taker or as a price-maker. The results put in evidence the portfolio effect when the GENCO takes into account its influence on price, which is seen in the price-maker scenarios, whereas the scheduling remains unchanged under the price-taker behavior.
- Scheduling of a pumped-storage hydro in the day-ahead market and in the secondary reserve marketPublication . Fernandes, Filipe; Sousa, Jorge A. M.; Santana, João; Lagarto, JoãoThe increasing integration of wind power in the Portuguese energy market has been raising some challenges in terms of operation and planning of the generation portfolio and of power system management, with ancillary services playing a major role in system stability. A generation company (GENCO) aiming at maximizing its profits has to deal with bids to several available markets, among which are the Day-ahead Market (DAM) and the Secondary Reserve Market (SRM). This paper presents a scheduling solution of a price-maker GENCO whose portfolio comprises a pumped-storage hydro (PSH) unit with variable pumping capacity, acting simultaneously in the DAM and SRM. The results were obtained for four different scenarios, where the PSH may or may not possess variable pumping capacity and compares the PSH behavior in one or both markets simultaneously. The model was implemented in General Algebraic Modeling System (GAMS) as a Mixed Integer Programming (MIP) using CPLEX solver.
- Optimal scheduling of a pumped storage hydro unit in the day-ahead and secondary reserve electricity marketPublication . Lagarto, João; Fernandes, Filipe; Sousa, Jorge A. M.; Santana, João; Martins, BertoAncillary services play a major role in power systems security and stability. The transmission systems operators contract some of these services at minimum cost in competitive markets. This is the case of the secondary reserve market (SRM). Besides the day-ahead market (DAM) generating companies, aiming at maximize their profits, can increase their revenues by selling available capacity in the SRM. This paper presents the solution of a price-taker generating company, owning a pumped-storage hydro (PSH) unit, acting in DAM and SRM. The results were obtained for three case studies: the generating company acts only in the DAM; the generating company acts in both markets with a fixed pumping capacity of the PSH unit; the generating company acts in both markets with a variable pumping capacity of the PSH unit. Results show that higher profits are obtained when acting in both markets with a variable pumping capacity of the PSH unit.