Abstract | The start-up of the Iberian Electricity Market introduced a set of new mechanisms in the Spanish
electricity sector that forced the agents participating in the market to change their management
policies. This situation created a great opportunity for studying the bidding strategies of the generation
companies in this new framework. This thesis focuses on the short-term bidding strategies of
a price-taker generation company that bids daily in the Iberian Electricity Market. We will center
our bidding strategies on the day-ahead market because 80% of the electricity that is consumed
daily in Spain is negotiated there and also because it is the market where the new mechanisms are
integrated. One of the main contributions of this thesis has been the study
the Spanish electricity price time series and its modeling by means of factor models.
In this thesis, the new mechanism introduced by the Iberian Market that afects the physical
operation of the units is described. In particular, it considers in great detail the inclusion of
the physical futures contracts and the bilateral contracts into the day-ahead market bid of the
generation companies. The rules of the market operator have been explicitly taken into account
within the mathematical models, along with all the classical operational constraints that afect the
thermal and combined cycle units. The expression of the optimal bidding functions are derived
and proved. Once these main objectives were fullfiled, we improved the previous models with an approach to
the modeling of the influence that the sequence of very short markets have on optimal day-ahead
bidding. These markets are cleared just before and during the day in which the electricity will
be consumed and the opportunity to obtain benefit from them changes the optimal day-ahead
bidding strategies of the generation company, as it has been shown in this thesis.
The entire models presented in this work have been tested using real data from a generation
company and Spanish electricity prices. Suitable results have been obtained and discussed. |