Accurately valuing storage in the electricity market recognizes its role in enhancing grid flexibility, integrating renewable energy, managing peak loads, providing ancillary services and improving market efficiency. In this paper we outline an optimal trading problem for an Energy Storage Device trading on the electricity balancing (or regulating) market. To capture the features of the balancing (or regulating) market price we combine stochastic differential equations with Markov regime switching to create a novel model, and outline how this can be calibrated to real market data available from NordPool. By modelling a battery that can be filled or emptied instantaneously, this simplifying assumption allows us to generate numerical and quasi analytic solutions.

中文翻译：

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制度切换的最佳交易：数值和分析技术应用于电力平衡市场中的存储估值


准确评估电力市场中的储能价值，认识到其在增强电网灵活性、整合可再生能源、管理峰值负荷、提供辅助服务和提高市场效率方面的作用。在本文中，我们概述了在电力平衡（或调节）市场上交易的储能设备的最优交易问题。为了捕捉平衡（或调节）市场价格的特征，我们将随机微分方程与马尔可夫政权切换相结合，创建一个新颖的模型，并概述如何将其校准为 NordPool 提供的真实市场数据。通过对可以瞬间充满或排空的电池进行建模，这种简化的假设使我们能够生成数值和准解析解。