Simultaneous participation of producers and consumers in the day-head electricity market and the financial markets with forward or futures contracts can affect the strategy of the market players and the price and power exchanged in both markets. In order to study the behavior of market players and make appropriate decisions, the independent system operator needs to use an appropriate model to analysis both these markets considering their interactions with each other. In this thesis, an integrated model for the day-ahead electricity market and the futures market is presented considering the mutual impacts of these markets on each other from the viewpoint of the independent operator of the system.
First, a model is proposed to study the behavior of market players in the process of concluding forward contracts. Then, a Nash equilibrium model for the joint day-ahead electricity market and the forward contract market is proposed. Supply function model with both uniform and pay-as-bid pricing mechanisms is used to model the competition in the electricity market and the forward contract market. A new index inspired by the market players’ concern about the occurrence of different scenarios is proposed to include their risk preferences into the model and its effectiveness is evaluted.
In the next step, the possibility of updating the contracts on different days of contract period is inluded into the model in two different approaches. In the first approach, it is assumed that each market player tries to provide the best possible performance every day in such a way that it seems that it is the last day of the contract period. In the second approach, it is assumed that in each day of the trading period, the market player also considers the possibility of concluding new contracts in the next days of the trading period. The Cournot Nash equilibrium of the joint day-ahead and forward market is modeled for both approaches considering the limitations of the transmission system. Also, the effects of congestion on the system lines loading and market power of market players on their behavior in each market is investigated.
Thereafter, in order to form a futures market, daily Mark-to-Marketing settlement and the possibility of cash settlement of contracts at delivery period are added to the model and the Nash equilibrium point of the joint day-ahead electricity market and futures market is obtained. After completing the futures market model, at the end, the behavior of speculators in the futures market is modeled, added to the proposed model and its effects on the behavior of producers and consumers are examined. Simulation results confirm the mutual impacts between day-ahead and futures market and effectiveness of the proposed model for following the real world trends in day-ahead and futures markets. |
