POSTPONED

Nicolas Stevens - CORE

will give a presentation on

The Many Advantages of Convex Hull Pricing for the European Electricity Auction

Abstract:

Since the liberalization of the power sector and the creation of wholesale electricity markets, the question of how to price the non-convexities present in the market has attracted the interest of both academics and practitioners. Over the years, US markets have studied and adopted different and evolving pricing rules. Since the “Trilateral Market Coupling” (2006), the European day-ahead market has opted for notably different pricing rule. Recently, the EU stakeholders have undertaken research to reform it, picking interest for some approaches discussed on the other side of the Atlantic. Our paper aims at contributing to the debate. We analyse six different pricing methods. We establish several mathematical properties to enable their accurate comparison. Our findings are illustrated on stylized examples and numerical simulations performed on realistic datasets. Both theoretical and numerical evidences gathered in our paper point towards the many advantages of convex hull pricing.