Arbitrage Strategies for Energy Storage
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1 Arbitrage Strategies for Energy Storage Olvar Bergland School of Economics and Business and CERAD CoE Norwegian University of Life Sciences and School of Economic Sciences Washington State University 35th USAEE North American Conference November 12 15, 2017, Houston, TX Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
2 Storage: Questions Why do we want/need energy storage system services shifting forward in time Is energy storage economically viable expected revenue streams risk management Are there market design/institutional obstructions market failures fossile vs digital world Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
3 Storage: Time Shifts Arbitrage buy cheap, sell dear Time scale years months week(s) day(s) hour(s) minute(s) Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
4 Motivation Integrating stored/pumped hydro w/wind Integrating batteries w/wind and/or solar reliability risk-management proconsumers Batteries are cool but (almost) useless and a waste of money Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
5 Outline 1 Background 2 Arbitrage Strategies 3 Flexibility and Swing Options 4 Conclusion Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
6 Outline 1 Background 2 Arbitrage Strategies 3 Flexibility and Swing Options 4 Conclusion Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
7 Price Variability Price variability is the key Seasonal/dinural patterns Stochastic component Stochastic production Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
8 Prices in Oslo and Sweden (2010/17) Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
9 Prices in Denmark Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
10 Prices in Denmark (seasonally adjusted) Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
11 Arbitrage in Bidding Markets Conceptual framework Selling/buying one unit in each period Offering buy/sell bids Storage X t {0, 1,..., X max } Buy bid 0 b t Sell bid s t p. Beliefs/expectations about bid distribution F (p) Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
12 Stochastic Dynamic Programming V (X t ) = max bt,st ( b ) t p F t (b t ) pdf t (p) + (1 F t (s t )) pdf t (p) 0 st ( + β F t (b t )V (X t + 1) + (F t (s t ) F t (b t ))V (X t ) + (1 F t (s t ))V (X t 1) ) (1) Solve numerically (Judd) Infinite time horizon Optimal bidding strategy Value function V (X ) Repeated single period Repeated sequential 24-hour period Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
13 Day-Ahead Market Auction Need to bid for each hour simultaneously Cannot condition bids sequentially How much to bid: b ht and s ht Which hours to participate δht b, δb ht {0, 1} V (X t ) = max b ht,s ht,δ b ht,δb ht h ( bht ) δhtf b ht (b ht ) pdf ht (p) + δht s... 0 subject to h δs ht X t and X t + h δb ht X max. Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
14 Feasible Method SDP is a feasible method easy for day ahead auction arbitrage across hours/days Bid/price distribution forecast (systematic component) bid stack Need to select hours Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
15 Arbitrage in Denmark Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
16 Market Design Basic version of day-ahead market submit bids before gate closure need excess capacity timing and frequency of closure Basic version of intra-day market continuous trading market clearing at specific times Real I-SAM design very flexible read the manual (!) Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
17 Outline 1 Background 2 Arbitrage Strategies 3 Flexibility and Swing Options 4 Conclusion Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
18 Increased Flexibility Increase demand/supply flexibility Buy/sell at the right time Swing options for buy/sell units Options called by market operator when desired Energy storage can offer such options The SDP model for pricing such contracts Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
19 Trading Exotic Options I-SAM and the EUPHEMIA algorithm market clearing and market coupling allows great flexibility in orders Complex orders Block orders Flexible hourly orders sell/buy x units at price s flexible wrt which hour allocated to the best period paid market price (not bid price) Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
20 Swing Arbitrage in Denmark Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
21 Outline 1 Background 2 Arbitrage Strategies 3 Flexibility and Swing Options 4 Conclusion Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
22 Conclusions Arbitrage value may justify storage SDP modeling of bidding behavior in auction markets Market design in place for (commercial) storage arbitrage across days/hours swing options for arbitrage and flexibility gate closure times and frequency Detailed case studies next... Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
23 Thank you for your attention. Olvar Bergland (NMBU) Arbitrage Strategies USAEE, / 23
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