Abstract

ARIAS ROCHE, José David  and  SALAZAR ISAZA, Harold. A Strategy for a Generator to Participate in the Colombian Electricity Market. ing.cienc. [online]. 2014, vol.10, n.20, pp.161-180. ISSN 1794-9165.

This paper presents a strategy for a generator to participate and to mitigate the risk effect of price volatility in the Colombian wholesale electricity market. The strategy is used to optimize the generator participation in the long-term market (bilateral market) and the spot market. Additionally, the strategy mitigates the risk of price exposure in the sport market using electricity forward contracts. Numerical results shows that the proposed methodology is more efficient than classical optimization models since this proposal considers the intrinsic price volatility of the long-term and spot markets.

Keywords : price forecasting; neural networks; portfolio optimization; Markowitz model; electricity derivatives.

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