Open AccessPortfolio management of battery storages in multiple electricity markets
Author(s) -
Huang Chenyang,
Yan Zheng,
Chen Sijie,
Xu Xiaoyuan,
Yang Su,
Li Jing,
Qu Haoyuan
Publication year - 2018
Publication title -
iet generation, transmission and distribution
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.92
H-Index - 110
eISSN - 1751-8695
pISSN - 1751-8687
DOI - 10.1049/iet-gtd.2018.6219
Subject(s) - portfolio , hedge , energy storage , battery storage , electricity market , electricity , battery (electricity) , portfolio optimization , business , order (exchange) , computer science , finance , electrical engineering , engineering , ecology , power (physics) , physics , quantum mechanics , biology
A battery storage can diversify its portfolio by participating in the energy market, regulation market, and point‐to‐point (PTP) obligation market. In order for a battery storage to maximise profits and hedge risks, a portfolio management model that co‐optimises a storage's bids in these three markets is proposed. The proposed model is trained and validated by real market data. The performance of the proposed portfolio is compared with the portfolio without consideration of PTP obligation, indicating that the proposed method is effective in risk hedging. Numerical results also show the trade‐off between storage's expected profits and risks, which can be useful for a battery storage owner with a certain degree of risk aversion.