A Strategy for a Generator to Participate in the Colombian Electricity Market

Authors

  • Harold Salazar Isaza Universidad Tecnológica de Pereira
  • José David Arias Roche Universidad Tecnológica de Pereira

DOI:

https://doi.org/10.17230/ingciencia.10.20.10

Keywords:

Price forecasting, neural networks, portfolio optimization, Markowitz model, electricity derivatives.

Abstract

This paper presents a strategy for a generator to participate and to mitigate the risk effect of price volatility in the Colombian wholesale electricity market. The strategy is used to optimize the generator participation in the long-term market (bilateral market) and the spot market. Additionally, the strategy mitigates the risk of price exposure in the sport market using electricity forward contracts. Numerical results shows that the proposed methodology is more efficient than classical optimization models since this proposal considers the intrinsic price volatility of the long-term and spot markets.

MSC:46N10, 91G10, 68T05

PACS:89.65.Gh, 07.05.Mh

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Published

2014-06-25

Issue

Vol. 10 No. 20 (2014)

Section

Articles

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How to Cite

Salazar Isaza, H., & Arias Roche, J. D. (2014). A Strategy for a Generator to Participate in the Colombian Electricity Market. Ingeniería Y Ciencia, 10(20), 161-180. https://doi.org/10.17230/ingciencia.10.20.10