Bidding in interreleated day-ahead electricity markets: Insights form an agent-based simulation model

In this paper we present results from an agent-based simulation model of two sequentially cleared electricity markets. Agents can bid on both a day-ahead market for physical delivery contracts and a day-ahead balancing power market and learn from their achieved results. Different scenarios of the order of market clearing and pricing rules are tested and their results are compared. We show that prices are lower in both markets when the day-ahead market is cleared first. We also show that pay-as-bis leads to lower resulting prices than a uniform price mechanism.