Bidding analysis in joint energy and spinning reserve markets based on pay-as-bid pricing

Owing to the interaction between energy and spinning reserve markets, designing proper bid functions and offering optimal prices to these markets is economically a challenging task from generation companies (GenCos) point of view, especially in the pay-as-bid pricing mechanism. A previously presented only-energy bidding method is generalised in order to model and solve a multimarket bidding problem. Considering a joint probability distribution function for energy and spinning reserve prices, the bidding problem is formulated and solved as a classic optimisation problem. The results show that the contribution of GenCos in each market strongly depends on their production costs, GenCo´s risk-aversion degree and the mean values of market prices.