An Offer Strategy for Wind Power Producers That Considers the Correlation Between Wind Power and Real-Time Electricity Prices

This paper provides a comprehensive analysis of how the correlation between wind power and electricity prices affects the offer strategies of wind power producers (WPPs). In a market that has a high penetration of wind energy, the correlation can be noticeable and thus should be considered by the WPPs when building offer strategies. First, this paper aims to build an advanced offer curve that considers the joint information of wind power and real-time (RT) prices. Then, we explore the sensitivity of the expected profit, value at risk (VaR), and conditional value at risk (CVaR) for the advanced offer curves to the probabilistic parameters of wind power and RT prices. We find that an offer curve which reflects this correlation generally results in a small improvement in expected profit, but a meaningful reduction in risks. The benefits of the advanced offer curves increase as the correlation becomes more negative or the variances of wind power and prices increase.