An Optimization Problem for Contract Scheduling in Italian Forward Electricity Account Trading Platform

摘要

Recently, a decision of the Italian Electricity Authority has introduced a new Electricity Account Trading Platform (PCE). A relevant peculiarity introduced by the PCE consists in the distinction between trading transactions and physical programs, therefore the energy sale (purchase) is also allowed to operators not owners of production (consumption) units. As a consequence there is now a wider opportunity of trading also for costumers, so taking them advantages of the market clearing price. A stochastic optimization model has therefore been proposed to implement the trading strategies of a consumer in the PCE, embedding the costumer aversion to the risk due to market clearing price volatility. The results illustrate diverse energy procurements by varying the value of the risk aversion.