Relationship between electricity markets in the Spanish system

Abstract

Since electricity markets were implemented in the 70’s and 80’s around the world, it has always existed the uncertainty about prices. This uncertainty not only affects the shot-term problem, when to produce, but also the long-term decisions, when and where to install a power plant. In addition, in the last years, renewable energies have experienced a huge development in terms of technology and installation all over the globe. The introduction of this technologies into the different electric systems has added to price uncertainty, production uncertainty, which finally increase the uncertainty in prices too. In this context of high uncertainty about electricity prices, this thesis aims to provide a reliable tool to forecast and relate prices for the different electricity markets that take place in the Spanish system, basically the day-ahead and intraday markets and some reserve markets managed by REE. Based on statistical methods and using different types of inputs, for instance, demand or production by technology, it has been developed a day-ahead price simulator which is able to provide with an adequate level of reliability prices for the day-ahead market, which is the most important, in terms of energy traded, in the Spanish system. Afterwards, and based on this day-ahead predictions, it has been developed a simulator for the most important markets in the system: all six intraday markets, secondary and tertiary reserve market and technical constraints market. The thesis pays especial attention to this last technical constraints markets, which a very particular market of the Spanish system with few singularities. To begin with, this is not a marginal market, it is cleared as a pay-as-bid mechanism. The final objective of the thesis is to offer reliable forecasts of the different markets in order to provide a global view of the system for a given day to planned properly the strategies of a company based on the unit portfolio.