发表机构
Karlsruhe Institute of Technology; Delft University of Technology; Austrian Institute of Technology; London Business School; University of Oxford（卡尔斯鲁厄理工学院; 代尔夫特理工大学; 奥地利技术研究所; 伦敦商学院; 牛津大学）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
针对连续日内市场中电池储能的短视交易问题，提出一种以预测驱动往返交易为主、BESS 作为后备平仓通道的新策略，在 2024 年德国市场回测中，40 MWh 电池以更少循环获得更高利润。
AI 中文摘要
连续日内市场（IDC）中的电池储能系统（BESS）通常按照滚动内在算法进行交易，这是一种短视策略，在整个交易时段内根据当前价格反复开仓和平仓，并在交割临近时进行调度。本文提出了一种新颖的储能交易策略，其中基于预测的往返交易优先进行，BESS 提供第二条平仓路径，以避免市场以不利价格平仓。该智能体利用价格分位数预测在 IDC 上开仓，并在临近交割时平仓。市场可能对这些交易产生不利影响，BESS 仅在仓位必须以预测认为极不可能的价格结算时才进行干预，通过物理方式吸收或提供该电量，并在之后以正常价格恢复其荷电状态。仓位本身仍然亏损；资产改变的是平仓价格，通过将最终结算价格在时间上转移来实现。四个复杂度递增的分位数预测模型提供阈值，所有策略均在 2024 年德国市场区域的 EPEX SPOT 实际交易数据上进行了回测。一个 40 MWh 的 BESS 在此角色中赚取 206 万欧元，而滚动内在基准为 177 万欧元，完美前瞻日前基准为 137 万欧元，同时消耗 167 个而非 365 个可用等效全循环。因此，新颖的后备策略在减少 BESS 使用的同时获得更高利润，为其他交易机会留出容量。
英文摘要
Battery energy storage systems (BESS) on the continuous intraday market (IDC) often trade according to a rolling intrinsic algorithm, a myopic strategy which repeatedly opens and unwinds positions according to current prices throughout the trading session, before dispatching as delivery approaches. This paper introduces a novel trading strategy for storage, in which forecast-driven round trip trading takes priority and the BESS supplies a second route for closing out positions that the market would otherwise close at a distressed price. The agent uses price quantile forecasts to open positions on the IDC, and closes these positions closer to delivery. The market can move against these trades, and the BESS intervenes only when a position would have to be settled at a price that the forecast predicts to be highly improbable, absorbing or serving that volume physically and restoring its state of charge at ordinary prices afterwards. The position itself remains loss-making; what the asset changes is the price at which it is closed, by transferring the terminal settlement price through time. Four quantile forecasting models of increasing complexity supply the thresholds, and all strategies are backtested on realised EPEX SPOT transactions for the German market area in 2024. A 40 MWh BESS in this role earns EUR 2.06m against EUR 1.77m for a rolling intrinsic benchmark and EUR 1.37m for a perfect-foresight day-ahead benchmark, while consuming 167 instead of 365 available equivalent full cycles. Hence, the novel backstop strategy yields higher profits, while using the underlying BESS less, leaving capacity for other trading opportunities.
