Tools for Assessment of Bidding into Electricity Auctions
作者:
所属专业方向:
电力市场
摘要:
Executive Summary
In many restructured electricity markets, transactions occur through
frequently-repeated uniform-price auctions. For example, the Electric Reliability
Council of Texas (ERCOT) balancing market, and the day-ahead and real-time
markets in the Northeast and Midwest U.S. use uniform-price auctions. Such market
mechanisms are justified, in part, by theoretical models that suggest these auctions
facilitate efficient dispatch and send “correct” signals for future investment.
However, empirical analyses of offers into electricity spot auctions have uncovered
evidence that actual offers by some market players can deviate significantly from
theoretical models of profit-maximizing offers. In particular, smaller players face
considerable uncertainty and appear to avoid participation in these markets, even
when participation would increase profits and reduce system dispatch costs.
Existing evidence from ERCOT suggests that these “sub-optimalities” lead to
dispatch inefficiency in the balancing market. Unfortunately, these inefficiencies
propagate outside the balancing market – many bilateral transactions are linked to the
balancing price, and the balancing price affects investment signals.
This project developed a computational tool for analyzing offers into auctions. The
tool has two major applications. First, market monitors can employ it to assess the
competitiveness and efficiency of offers by comparing the actual offer of a market
participant to a hypothetical perfectly competitive offer and to an ex post profit
maximizing offer. Such analysis can be useful to market monitors who seek to
evaluate the behavior of a particular market participant. Second, the tool can assist
market participants, especially the smaller ones, in the formulation of offers in the
face of the strategic complexity facing them. The tool and associated graphical user
interface allows the ex post profit maximizing offer for a firm to be constructed on the
basis of information about the aggregate offers of other market participants, the firm’s
own cost function, and zonal transmission constraints.
This project brings together work from both the economics and electrical engineering
literatures. The tool operationalizes some of the recent theoretical developments in
auction theory in a prototype tool that is available in the public domain to analyze
offers. Moreover, the tool incorporates the effects of transmission constraints,
providing a unique combination of economic and engineering analyses that is not
available elsewhere. Finally, we sought to make the tool “user friendly” so an
analyst or market participant can exploit the insights of recent academic analysis in
the “real-time” time horizon that such analysts typically make decisions.
The academic grade tool is written in the Java language, and is released as
open-source software under the terms of the GNU General Public License (GPL). If
you are a PSERC industry member and would like to receive a copy of the tool in
a .zip file, please send an email to either puller@econmail.tamu.edu
ii
or Ross.Baldick@engr.utexas.edu and we will be happy to send it to you. In the
future, the tool may be publicly available. The example case study is based on the
ERCOT zonal electricity balancing market.
Future work could add features to the existing tool that analyze other outcomes that
are important to the efficient design of restructured electricity markets. For example,
the tool could be expanded to calculate prices under scenarios such as: (a) firms
exercise market power but there is a small expansion in transmission capacity, and (b)
firms bid competitively. In addition, the tool could be modified to estimate the effect
of a single firm’s bids on the overall dispatch costs. Yet another area for future
research is to tailor the tool to other markets with similar features in the procurement
process. While the tool is specifically tailored to ERCOT’s zonal market, the
analytical technique below can be applied elsewhere. Finally, future research could
extend the theoretical underpinnings to consider nodal markets.
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发表于 2009-1-29 12:09:45
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