Bivariate Probabilistic Wind Power and Real-Time Price Forecasting and Their Applications to Wind Power Bidding Strategy Development

We build an advanced offer curve in the day-ahead electricity market for wind power producers based on the multivariate (bivariate or two-dimensional) distribution of the real-time (RT) price and wind power forecasting errors. The bivariate distribution results in more profitable offers based on the conditional probability of wind power forecasting errors with respect to the RT price forecasting errors. The standard deviation of the bivariate distribution is reduced through a novel probabilistic wind power forecasting algorithm based on a parametric approach to further increase the profitability of the offer curve. In conclusion, the test of the advanced offer curve on the data sampled from the Iberian peninsula shows that the offer curve of the bivariate distribution has a higher profitability than offer curves of the marginal distribution.