In the trade-off between bidding in the day-ahead electricity market and the real time balancing market, producers need good forecasts for balancing market prices to make informed decisions. A range of earlier published models for forecasting of balancing market prices, including a few extensions, is benchmarked. The models are benchmarked both for one hour-ahead and dayahead forecast, and both point and interval forecasts are compared. None of the benchmarked models produce informative day-ahead point forecasts, suggesting that information available before the closing of the day-ahead market is efficiently reflected in the day-ahead market price rather than the balancing market price. Evaluation of the interval forecasts reveals that models without balancing state information overestimate variance, making them unsuitable for scenario generation.

This paper considers gains from coordinated bidding strategies in multiple electricity markets. The gain is quantified by comparing profits from coordinated bidding to profits from a purely sequential bidding strategy. We investigate the effect of the production portfolio size on gains. We formulate a coordinated planning problem for a hydropower producer using stochastic mixed-integer programming. A comprehensive scenario-generation methodology is proposed. An extensive case study of the current Nordic market is carried out. Under the current Nordic market conditions, we found that gains from coordinating bids are very moderate, just below 1% in total profits for one watercourse, and about 0.5% for two and three watercourses. Gains from coordinated bidding decline with portfolio size, but only to a certain degree, because the gains seem to stabilise at a certain level.

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Generation companies with controllable units put considerable analysis into the process of bidding into the day-ahead markets for electricity. This article investigates the gain of coordinating price-taking bids to the day-ahead electricity market (DA) and sequentially cleared energy-only markets, such as the Nordic balancing market (BM). A technically detailed case study from the Nordic market is presented. We find that coordinated bidding is hardly worthwhile under current market conditions, but that only a modest increase in the demand for balancing energy will make coordination profitable. If the supply curve for balancing energy is convex, so that the cost of balancing energy is asymmetric, the gains will be even higher. Finally, we find that day-ahead market bid curves that result from coordinated instances provide extra supply at low prices, and lower supply at high prices, compared to sequential bids. This is rational given the anticipated opportunities that the balancing market offers; however, it makes day-ahead bidding appear to exploit market power.

This paper describes a multistage stochastic mixed integer programming problem for a hydro power producer that maximizes profit in the low liquid intraday market and balancing market. A comprehensive modelling framework with an internal rolling horizon is presented and the continuous intraday market is modelled using stochastic residual demand curves.