This thesis is trying to understand and describe fundamental principles of power market which needs to be understood by every investor present on this market. These principles are then challenged based on the observations and everyday power market experience. A special focus is put here on understanding of wholesalemarket price-setting mechanism and its implications for the choice of the power production technology by the investor.

DISSERTATION - Abstract in English Three Essays on Electricity Markets Author: PhDr. Petra Luňáčková Academic Year: 2017/2018 This thesis consists of three papers that share the main theme - energy. The articles introduce characteristics and behavior of electricity focusing on its unique properties. The dissertation aims at the Czech electricity market and analyzes also highly discussed solar power plants. The first article studies long term memory properties of electricity spot prices through the detrended fluctuation analysis, as electricity prices are dominated by cycles. We conclude that Czech electricity prices are strongly mean reverting yet non-stationary. The second part of the dissertation investigates possible asymmetry in the gas - oil prices adjustment. Oil prices determine the price of electricity during the times of peak demand, as the reaction of power plants fueled by oil is quick but marginal costs are high. We chose the gasoline - crude oil relationship known as "rockets and feathers" effect and offer two new tests to analyze such type of relationship as we believe that error correction model is not the most suitable tool. Analyzing international dataset we do not find statistically significant asymmetry. The third study assesses the impact of renewable energy sources, solar plants in...

As the demand for electricity increases throughout the globe while we want to reduce the use of fossil fuels, the need for renewable energy sources is bigger than ever. In countries where solar power makes up a large part of the total energy production, the overall electricity spot price level has become lower. This thesis investigates the underlying mechanism that drives the energy market, and in specific, how the solar power impacts the electricity spot price. We present results from studies made in other markets, and introduce a Regime Switching model for explaining the impact in Sweden. We show that an increase of photovoltaics power has a price lowering effect on the daily price pattern in price area SE3 and SE4.

Wind power has been growing rapidly in Sweden over the past decade as the country focuses on 100% renewable energy by 2040. The thesis seeks to investigate if increased wind power has had a dampening effect on the hourly day-ahead spot prices in Sweden’s bidding area SE3. An empirical approach is undertaken to estimate the impact that wind power has had onprices. Hourly spot prices for bidding area SE3 for the years 2016-2019 are analysed using a multivariate regression method. Other important variables like hydropower and nuclear production which are very significant in the Swedish electricity market are controlled for in the study. The results confirm that in the period 2016-2019, bidding SE3 experienced a merit order effect on price caused by increased wind power. The study shows that a 1% increase inwind power production is estimated to have decreased SE3 hourly spot prices by between 0.0268% and 0.059% between 2016 and 2019.

This thesis investigates the feasibility and benefits of integrating Thermochemical heat Storage (THS) into a CHP (Combined Heat and Power) plant. A case study is done for the CHP-plant in Sala, Sweden, with a maximum heat output of 20.9 MW and maximum electricity output of 9.6 MW. The THS type considered is calcium oxide in a hydroxide system. The fluctuations in electricity price for years 2020, 2030 and 2040 are considered and low-price electricity is used as a charging source for THS. During charging the superheated steam (endothermic reaction) is used to cover some of the district heating demand. The high temperature discharge from the THS is used as reheat in the Rankine cycle. The operations are modeled in Ebsilon and optimization is done in MATLAB using genetic algorithm with the objective to achieve maximum annual revenue. The results suggest that it is not feasible to introduce THS with electricity as a charging source in year 2020, but in 2030 and 2040 THS shows promising potential. The biggest increase in revenue comes from reduced fuel consumption, and, to a lesser extent, increased income from electricity. It is concluded that Calcium hydroxide is a promising candidate for integration into CHP during large electricity price fluctuation. The main drivers for the feasibility of this combination are high fuel price and large fluctuations of electricity price.

Introduction of emission trading scheme of tradable permits become a great phenomena among energy business agents. Each emitter of CO2 is granted or allocated definite amount of tradable permitts. These allow him to produce one tonne of CO2 or to sell them on the spot or forvard market. Since these tradable permits became valuable (behave as a commercial instrument) they carry two possible usage. To be consumed when producing MWh of energy of to be sold on the market. These alternative usage are according to economy theory opportunity costs, therefore should be considered as the implicit costs and implemented into the price setting. When operating on competitive market, this cost increase should be fully passed on to the price. In this paper we analyze this pass-through of the permits costs. By using regression analysis we try to estimate the pass-through rate of the permits costs in power energy market. We analyze the spot and futures market in the Czech Republic (PXE) and in Germany (EEX). Estimated pass through rate ranges between 0,65 and 1,2. The results emphasize that the energy market is quite competitive, because the costs are more or less fully passed on consumers. One interesting feature arose from results. The pass-through rate greater than one is sort of economically counter-intuitive and should be studied in more detail in some future work.

Electricity is an essential good, which can hardly be replaced. It can be produced thanks to a wide rangeof sources, from coal to nuclear, not to mention renewables such as wind and solar. In order to meetdemand at the lowest cost, an optimisation is made on electricity markets between the differentproduction plants. This optimisation mainly relies on the electricity production cost of each technology.In order to include long-term constraints in the short-term optimisation, a so-called use value (oropportunity cost) can be computed and added to the production cost. One long-term constraint thatEDF, the main French electricity producer, is facing is that its gas plants cannot exceed a given numberof operation hours and starts between two maintenances. A specific software, DiMOI, computes usevalues for this double constraint but its parameters needs to be tested in order to improve thecomputation, as it is not thought to work properly.DiMOI relies on dynamic programming and more particularly on an algorithm called Bellman algorithm.The software has been tested with EDF R&D department in order to propose some modellingimprovements. Electricity and gas market prices, together with real plant parameters such as startingcosts, operating costs and yields, were used as inputs for this work, and the results were checkedagainst reality.This study gave some results but they appeared to be invalid. Indeed, an optimisation problem wasdiscovered in DiMOI computing core: on a deterministic context, a study with little degrees of freedomwas giving better profits than a study with more degrees of freedom. This problem origin was notfound precisely with a first investigation, and the R&D team expected the fixing time to be very long.The adaptation of a simpler tool (MaStock) was proposed and made in order to replace DiMOI. Thisproject has thus led to DiMOI giving up and its replacement by MaStock. Time was missing to testcorrectly this tool, and the first study which was made was not completely positive. Further studiesshould be carried out, for instance deterministic ones (using real past data) whose results could becompared to reality.Some complementary studies were made from a fictitious system, in order to study the impact of someparameters when computing use values and operations schedules. The conclusions of these studiesare the little impacts that changes in gas prices and start-up costs parameters have on the global resultsand the importance of an accurate choice in the time periods durations used for the computations.Unfortunately these conclusions might be too specific as they were made on short study periods.Further case studies should be done in order to reach more general conclusions.

The operation of electric grids depends on the balance between the electric generation and the demand. In France, the Transmission System Operator, RTE, is responsible for the stability and the security of the grid. Today, the electric generation follows the variations of the demand. However, environmental concerns prompt to develop new strategies and policies for Energy Transition. The development of Smart Grids, the uncertain future of nuclear generation, the massive integration of renewable sources are the focus of those. Furthermore, renewable energies generation is intermittent and can not be controlled. The current strategy for the balance between generation and demand is challenged. The electric grid has to be readjusted by adding more electric flexibility to ensure its stability. The electric flexibility is usually associated to storage technologies as batteries or pumping stations. A state of art review is used to define this notion and to evaluate the technological and economic maturity of different electric flexibility vectors. The following report is based on a selection of prospective scenarios, development plans already launched in France, proposing a significant share of renewable energies in a future energy mix and current French energy data. Two studies were carried out : one at a regional level, for Bretagne and one at national level for France. An evaluation at 2050 is carried out to determine the load factors of intermittent energies, consumption and residual demand in Bretagne. On the basis of these prospective estimates, a need for electric flexibility can be determined for the Bretagne region. This first study highlights an issue related to future needs for electric flexibility. However, since the balance between production and consumption is achieved at a national level, a second study on France is necessary. The French need for electric flexibility is then estimated through a linear optimization that evaluates the energy production required to achieve a generation/consumption balance taking into account energy sources merit order. / Det franska elnätets funktion beror på balansen mellan elproduktionen och efterfrågan. Transmissionssystemoperatören, RTE, ansvarar för nätets stabilitet och säkerhet. Idag följer den elektriska generationen variationerna i efterfrågan. Miljömässiga frågor är emellertid snabba för att utveckla nya strategier och strategier för energiövergång. Utvecklingen av Smart Grids, den osäkra framtiden för kärnkraftsproduktion, den massiva integrationen av förnybara källor är deras fokus. Vidare är generering av förnybara energikällor intermittent och kan inte kontrolleras. Den nuvarande strategin för balans mellan produktion och efterfrågan utmanas. Elnätet måste justeras genom att lägga till mer elektrisk flexibilitet för att säkerställa stabiliteten. Den elektriska flexibiliteten är vanligtvis förknippad med lagringsteknik som batterier eller pumpstationer. En allmänt erkända tekniska används för att definiera denna uppfattning och att utvärdera den tekniska och ekonomiska mognaden hos olika elektriska flexibilitetsvektorer. Följande undersökningar grundar sig på ett urval av framtida scenarier, utvecklingsplaner som redan lanserats i Frankrike, och föreslår en betydande andel förnybara energikällor i en framtida energimix och nuvarande franska energidata. Två studier utfördes på olika perimetrar: på Bretagne-regionen och i Frankrike. En utvärdering vid 2050 utförs för att bestämma belastningsfaktorerna för intermittent energi, förbrukning och återstående efterfrågan i Bretagne. På grundval av dessa framtida uppskattningar kan ett behov av elektrisk flexibilitet bestämmas för Bretagne-regionen. Denna första studie lyfter fram ett problem som rör framtida behov av elektrisk flexibilitet. Men eftersom balansen mellan produktion och konsumtion uppnås på nationell nivå krävs en andra studie om Frankrike. Det franska behovet av elektrisk flexibilitet uppskattas sedan genom en linjär optimering som utvärderar den energiproduktion som krävs för att uppnå en generation / konsumtionsbalans med hänsyn tagen till energikällans meriteringsordning. / Le fonctionnement du réseau électrique français repose sur l’équilibre entre la production et la consommation d’électricité. Le gestionnaire du réseau de transport, RTE, est responsable de la stabilité et de la sécurité du réseau. Aujourd’hui, la production électrique s’adapte aux variations de la consommation. Cependant, des préoccupations environnementales incitent à la mise en place de nouvelles stratégies et politiques pour la transition énergétique. Le développement d’un réseau intelligent, l’avenir incertain du nucléaire et l’intégration massive d’énergies renouvelables sont au centre de celles-ci. De plus, la production électrique des énergies renouvelables s’avère intermittente et fatale. La stratégie actuelle du maintien de l’équilibre production/consommation est remise en question. Le système électrique doit être repensé en y intégrant plus de flexibilité électrique pour en garantir la stabilité. La flexibilité électrique est usuellement associée aux technologies de stockage comme les batteries électrochimiques et les STEP hydrauliques. Un état de l’art permet de définir précisément cette notion et d’évaluer la maturité technologique et économique en France de ces différents vecteurs de flexibilité électrique. L’objet des recherches suivantes est basé sur une sélection de scénarios prospectifs, de plans de développement d’ores et déjà lancés en France, proposant une part importante d’énergies renouvelables dans un futur mix énergétique et des données énergétiques actuelles françaises. Deux études ont été menées sur différents périmètres : sur la région Bretagne et sur la France entière. Une évaluation à 2050 est effectuée pour déterminer facteurs de charge des énergies intermittentes, consommation et demande résiduelle en Bretagne. A partir de ces estimations prospectives, un besoin en flexibilité peut être déterminé sur le périmètre de la Bretagne. Cette première étude permet de mettre en exergue une problématique liée aux futurs besoins de flexibilité électrique. Cependant, l’équilibre entre production et consommation étant réalisé à un niveau national, une seconde étude sur le périmètre français est nécessaire. Le besoin français en flexibilité est alors estimé par le biais d’une optimisation linéaire qui évalue la production énergétique nécessaire pour obtenir un équilibre production/consommation en tenant compte de la préséance économique.