The equilibrium of the energy financial market design for new energy trading models and the analysis of the energy financial market have become central challenges as electricity systems are rapidly transforming due to the integration of renewable energy. The expansion of renewable energy sources has created a structural dislocation between the physical dimensions of energy dispatch and financial risk management. Current energy trading models treat the physical and financial aspects as two independent optimisation problems and overlook the joint strategic behaviour that arises when participants operate with both operational exposure and financial hedge positions simultaneously. To address this gap, a co-optimised framework called the Dual-Layer Energy Trading Model (DLETM) is proposed in this paper, integrating both physical energy exchange and financial market participation. The physical layer controls the day-ahead flow of energy between renewable generators, prosumers, storage operators and retailers whereas the financial layer allows forward contracts, green energy certificates (GECs) and risk hedging instruments. The interconnection between layers is enforced by a Cross-Layer Volume Consistency Constraint (CLVCC) and coordinated by a Dual-Layer Pricing Signal (DLPS). Market equilibrium is formulated as a Generalized Nash Equilibrium Problem (GNEP) and reformulated as a Variational Inequality (VI). The existence of at least one Variational Equilibrium is established under standard convexity and compactness assumptions 1. An Augmented Lagrangian Decomposition with Primal-Dual Coupling (ALD-PDC) algorithm is introduced for decentralised computation. Simulation experiments on a stylised market with 12 participants with 40% of renewable penetration indicate an improvement in social welfare of 8.3%, a reduction in physical price volatility of 21.7%, and an increase in renewable utilisation of 16.2% compared to single-layer benchmark models. Sensitivity analyses indicate the welfare benefit of the dual-layer architecture increases to 14.2% at 70% penetration, suggesting that this benefit grows with the progression of the energy transition.
Shuming Zhao (Fri,) studied this question.