December 2004

43
R. Rajaraman. “Optimal Bidding Strategies in Electricity Markets”
Handling Price Uncertainty
•Discrete (or continuous) price states are used to model uncertainty
ØE.g., High, Medium, Low
•Are prices correlated between time periods?
ØHow is price in one period correlated with next period?
•Are prices correlated between markets?
ØHow is energy price correlated with reserve price?
•