Portfolio management of battery storages in multiple electricity markets

Abstract

A battery storage can diversify its portfolio by participating in the energy market, regulation market, and point‐to‐point (PTP) obligation market. In order for a battery storage to maximise profits and hedge risks, a portfolio management model that co‐optimises a storage's bids in these three markets is proposed. The proposed model is trained and validated by real market data. The performance of the proposed portfolio is compared with the portfolio without consideration of PTP obligation, indicating that the proposed method is effective in risk hedging. Numerical results also show the trade‐off between storage's expected profits and risks, which can be useful for a battery storage owner with a certain degree of risk aversion.