Inventing and Assessing Simple Heuristics for Bidding in Wholesale Electricity Markets

Jake Atkinson*, Richard Allmendinger, Joshua Knowles

*Corresponding author for this work

Research output: Chapter in Book/Conference proceedingConference contributionpeer-review

Abstract

In areas of commerce, fast and frugal heuristics have a demonstrated history of forecasting as or more accurately than complex strategies in situations of uncertainty. Financial participation in the deregulated electricity market requires accurate forecasting and presents an opportunity for the implementation of heuristics by traders seeking to arbitrage. Developmental research was undertaken to invent and assess simple heuristics for bidding in wholesale electricity markets. Two heuristic price-adjustment bidding strategies were developed, providing modest returns relative to existing strategies, greater risk aversion and reduced computational complexity.

Original languageEnglish
Title of host publication Operations Research Proceedings 2022
PublisherSpringer Nature Netherlands
Pages245-251
Number of pages7
ISBN (Electronic)978-3-031-24907-5
ISBN (Print)978-3-031-24906-8
DOIs
Publication statusPublished - 30 Aug 2023

Publication series

NameLecture Notes in Operations Research
VolumePart F3789
ISSN (Print)2731-040X
ISSN (Electronic)2731-0418
NameInternational Conference on Operations Research

Keywords

  • Arbitrage
  • Bidding
  • Heuristics
  • Optimisation

Fingerprint

Dive into the research topics of 'Inventing and Assessing Simple Heuristics for Bidding in Wholesale Electricity Markets'. Together they form a unique fingerprint.

Cite this