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Inventing and Assessing Simple Heuristics for Bidding in Wholesale Electricity Markets

In: Operations Research Proceedings 2022

Author

Listed:
  • Jake Atkinson

    (Spring Financial Group
    The University of Manchester)

  • Richard Allmendinger

    (The University of Manchester)

  • Joshua Knowles

    (The University of Manchester)

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.

Suggested Citation

  • Jake Atkinson & Richard Allmendinger & Joshua Knowles, 2023. "Inventing and Assessing Simple Heuristics for Bidding in Wholesale Electricity Markets," Lecture Notes in Operations Research, in: Oliver Grothe & Stefan Nickel & Steffen Rebennack & Oliver Stein (ed.), Operations Research Proceedings 2022, chapter 0, pages 245-251, Springer.
    • Handle: RePEc:spr:lnopch:978-3-031-24907-5_30
    DOI: 10.1007/978-3-031-24907-5_30
    as

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