Index of scenarios. Index of hours.

Abstract—This paper proposes a comprehensive stochastic deci-sion making model for wind power producers ’ (WPPs) participa-tion in a competitive market. The presented model incorporates three trading floors: 1) day-ahead; 2) intraday; and 3) balancing markets. An efficient integration of intradaymarkets allowsmarket players to react to the latest information (e.g., more accurate wind forecast). Creating a platform that allows demand response resources (DRRs) to contribute to the intraday markets improves both WPP’s business and power system flexibility. In this context, providing an intraday demand response exchange (IDRX) market for trading demand response (DR) between DR providers and DR users (e.g., WPPs) is proposed. The problem uncertainties, such as wind power and market prices, are considered using a scenario-based approach. Moreover, an appropriate risk measurement, conditional value-at-risk (CVaR), is incorporated with the model. Numerical results illustrate that utilizing DR to compensate wind generation imbalances can increase WPP’s profit and reduce the related risks. Index Terms—Demand response exchange (DRX), electricity market, risk management, wind power producer (WPP)