Hydropower scheduling in day-ahead and balancing markets

We present a stochastic mixed-integer model for the optimization of joint trade in the day-ahead and balancing markets. The model takes the perspective of a risk-neutral price-taking hydropower producer for a one-day planning horizon. The model is used to study the value of trading in both markets as opposed to day-ahead trades only. In particular we study how this value is affected by the flexibility in the production system. The results indicates a small added value from balancing market participation which is increasing as the production flexibility increases.