Cross-border Trading Model for a Risk-averse VPP in the Continuous Intraday Electricity Market

The surge in intermittent renewable energy sources has led to larger volumes traded in the short-term electricity markets. As a result, the problem of optimally trading in the cross-border continuous intraday (CID) electricity market has come under the limelight. In this paper, we propose a multistage stochastic programming model to determine the participation of a virtual power plant (VPP), comprising wind power, hydropower, and thermal power portfolio, in a cross-border CID market. The VPP determines the order volumes to be submitted at the market price by assessing the available orders in other bidding areas. We also present an order clearing model that accounts for the cross-border transmission capacities along with the liquidity in the CID market. The risk-averse behavior of the VPP is captured by the nested conditional value at risk (CVaR) formulation. In order to demonstrate the functionality of the proposed model, several case studies are performed by constructing data models based on historical trading data obtained from the Nord Pool.