Joint Bidding on Intraday and Frequency Containment Reserve Markets

• URL: http://arxiv.org/abs/2510.03209v1
• Date: Fri, 03 Oct 2025 17:48:21 GMT
• Title: Joint Bidding on Intraday and Frequency Containment Reserve Markets
• Authors: Yiming Zhang, Wolfgang Ridinger, David Wozabal,
• Abstract summary: As renewable energy integration increases supply variability, battery energy storage systems (BESS) present a viable solution for balancing supply and demand.<n>This paper proposes a novel approach for optimizing battery BESS participation in multiple electricity markets.
• Score: 2.2020962080622906
• License: http://creativecommons.org/licenses/by-nc-sa/4.0/
• Abstract: As renewable energy integration increases supply variability, battery energy storage systems (BESS) present a viable solution for balancing supply and demand. This paper proposes a novel approach for optimizing battery BESS participation in multiple electricity markets. We develop a joint bidding strategy that combines participation in the primary frequency reserve market with continuous trading in the intraday market, addressing a gap in the extant literature which typically considers these markets in isolation or simplifies the continuous nature of intraday trading. Our approach utilizes a mixed integer linear programming implementation of the rolling intrinsic algorithm for intraday decisions and state of charge recovery, alongside a learned classifier strategy (LCS) that determines optimal capacity allocation between markets. A comprehensive out-of-sample backtest over more than one year of historical German market data validates our approach: The LCS increases overall profits by over 4% compared to the best-performing static strategy and by more than 3% over a naive dynamic benchmark. Crucially, our method closes the gap to a theoretical perfect foresight strategy to just 4%, demonstrating the effectiveness of dynamic, learning-based allocation in a complex, multi-market environment.

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