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@ARTICLE{Nolzen:917568,
      author       = {Nolzen, Niklas and Ganter, Alissa and Baumgärtner, Nils
                      and Leenders, Ludger and Bardow, André},
      title        = {{W}here to {M}arket {F}lexibility? {O}ptimal
                      {P}articipation of {I}ndustrial {E}nergy {S}ystems in
                      {B}alancing-{P}ower, {D}ay-{A}head, and {C}ontinuous
                      {I}ntraday {E}lectricity {M}arkets},
      publisher    = {arXiv},
      reportid     = {FZJ-2023-00770},
      year         = {2022},
      abstract     = {The rising share of volatile renewable generation increases
                      the demand for flexibility in the electricity grid. Flexible
                      capacity can be offered by industrial energy systems through
                      participation on either the continuous intraday, day-ahead,
                      or balancing-power markets. Thus, industrial energy systems
                      face the problem of where to market their flexible capacity.
                      Here, we propose a method to integrate trading on the
                      continuous intraday market into a multi-market optimization
                      for flexible industrial energy systems. To estimate the
                      intraday market revenues, we employ option-price theory.
                      Subsequently, a multi-stage stochastic optimization
                      determines an optimized bidding strategy and allocates the
                      flexible capacity. The method is applied to a case study of
                      a multi-energy system showing that coordinated bidding in
                      all three considered markets reduces cost most. A
                      sensitivity analysis for the intraday market volatility
                      reveals changing market preferences, thus emphasizing the
                      need for multi-market optimization. The proposed method
                      provides a practical decision-support tool in short-term
                      electricity and balancing-power markets.},
      keywords     = {Optimization and Control (math.OC) (Other) / FOS:
                      Mathematics (Other)},
      cin          = {IEK-10},
      cid          = {I:(DE-Juel1)IEK-10-20170217},
      pnm          = {899 - ohne Topic (POF4-899)},
      pid          = {G:(DE-HGF)POF4-899},
      typ          = {PUB:(DE-HGF)25},
      doi          = {10.48550/ARXIV.2212.12507},
      url          = {https://juser.fz-juelich.de/record/917568},
}