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Modeling the evolution of electricity prices in a context of high penetration of renewables in electricity markets

Abstract : Electricity markets have been developed worldwide during the past decades to facilitate energy transaction. Since wholesale electricity prices evolve depending on the supply-demand equilibrium, risks and opportunities constantly emerge, not only for market participants but also for society as a whole. The evolution of prices is especially uncertain in the context of the energy transition due to considerable changes in the power system, notably the growing importance of renewables in the electricity mix. Nevertheless, anticipating possible price developments is needed to make adequate long-term decisions in terms of investments, market design, and public policies.The main objective of this thesis is to propose a method to simulate multiannual time series of electricity prices on day-ahead markets. The novelty of our model lies in its goal to bridge the gap between (i) optimization methods that estimate the minimal total cost to supply electricity, and (ii) data-driven methods that aim at capturing the observed trends in how the market effectively solves this resource allocation problem. Bringing the two approaches together enables us to build upon robust theoretical foundations without neglecting the effects observed in practice.The proposed model accounts for the physical constraints imposed on electricity delivery, while also reflecting the actual price formation mechanism on day-ahead markets (merit order and marginal pricing). A key advantage of our method is that it makes possible to fully exploit market data (e.g. historical prices, supply curves), as well as power system data (e.g. availability of generation units, evolution of demand). To this end, we propose a parametrization of sell orders, and a statistical estimation method to set the values of these parameters. This modelling technique offers great modularity and allows us to consider the influence of multiple price drivers, such as strategic bidding. As a result, we are able to simulate time series of prices, which display dynamics similar to the hourly price variations observed on day-ahead markets. This validated model is then exploited to conduct prospective studies in order to assess the potential evolution of wholesale electricity prices under future techno-economic scenarios.
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Submitted on : Thursday, November 24, 2022 - 4:48:10 PM
Last modification on : Friday, November 25, 2022 - 3:53:05 AM


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  • HAL Id : tel-03870568, version 1



Valentin Mahler. Modeling the evolution of electricity prices in a context of high penetration of renewables in electricity markets. Chemical and Process Engineering. Université Paris sciences et lettres, 2022. English. ⟨NNT : 2022UPSLM018⟩. ⟨tel-03870568⟩



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