The ACEWEM framework: An integrated agent-based and statistical modelling laboratory for repeated power auctions

Authored by Vlasios Voudouris, Daniil Kiose

Date Published: 2015

DOI: 10.1016/j.eswa.2014.11.024

Sponsors: No sponsors listed

Platforms: No platforms listed

Model Documentation: Other Narrative Flow charts Mathematical description

Model Code URLs: Model code not found

Abstract

We propose a novel framework for experimental designs of liberalised wholesale power markets, namely the Agent-based Computational Economics of the Wholesale Electricity Market (ACEWEM) framework. Here, we describe a detailed market simulation whereby the strategies of power generators emerge as a result of a stochastic profit maximisation learning algorithm based upon the GAMLSS (Generalized Additive Models for Location Scale and Shape) statistical framework. The ACEWEM framework, which integrates the agent-based modelling paradigm with formal statistical methods to represent better real-world decision rules, is designed to be the foundation for large custom-purpose experimental studies inspired by computational learning. The paper therefore makes a methodological contribution in the development of an expert model of repeated auctions with capacity and physical constrains. It also makes an applied contribution by providing a more realistic basis for identifying whether high market prices can be ascribed to problems of market structure or exercise of market power. (C) 2014 Elsevier Ltd. All rights reserved.

Tags

Simulation England Price Electricity market-models Wales Pool