Optimal bidding in multiperiod day-ahead electricity markets assuming non-uniform uncertainty of clearing prices
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| Format: | Preprint |
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2025
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| _version_ | 1866918156618956800 |
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| author | Csercsik, Dávid Vághy, Mihály András |
| author_facet | Csercsik, Dávid Vághy, Mihály András |
| contents | In a recent publication, using a simple two-period model, which is already capable to capture essential non-convex multiperiod bids, Richstein et al. have shown that in the case of optimal bidding, multi-part bidding always ensures a higher expected profit for the bidder, compared to simple bidding and block-bidding. The model proposed in their analysis assumes a uniform distribution of the market-clearing prices in both periods. In this paper, we study how the conclusions of the analysis are affected, if a very simple, symmetric, stepwise-constant but non-uniform distribution is assumed in the case of the market-clearing price. We show that the results of Richstein et al. also hold in this case. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2510_07025 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Optimal bidding in multiperiod day-ahead electricity markets assuming non-uniform uncertainty of clearing prices Csercsik, Dávid Vághy, Mihály András General Economics Economics In a recent publication, using a simple two-period model, which is already capable to capture essential non-convex multiperiod bids, Richstein et al. have shown that in the case of optimal bidding, multi-part bidding always ensures a higher expected profit for the bidder, compared to simple bidding and block-bidding. The model proposed in their analysis assumes a uniform distribution of the market-clearing prices in both periods. In this paper, we study how the conclusions of the analysis are affected, if a very simple, symmetric, stepwise-constant but non-uniform distribution is assumed in the case of the market-clearing price. We show that the results of Richstein et al. also hold in this case. |
| title | Optimal bidding in multiperiod day-ahead electricity markets assuming non-uniform uncertainty of clearing prices |
| topic | General Economics Economics |
| url | https://arxiv.org/abs/2510.07025 |