Risk-Averse Bidding Strategy for Energy Community Trading in the Spot Market

This paper presents a risk-averse bidding strategy designed to optimize the operational planning of aggregated demand-side flexibility. The framework aims to coordinate peer-to-peer electricity trading within the European day-ahead and intraday markets. The goal is to maximize the social welfare of the community while minimizing the risk of deviation from a target buying or selling position to retailers. To address the uncertainty surrounding the production of renewable energy and spot prices, a two-stage framework based on linear programming approaches is proposed. The approach leverages distributionally robust optimization to manage uncertainty in the forecast error distribution. It optimizes the decision-making process by considering the expectation of the worst-case uncertainty distribution within an ambiguity set, based on the conditional value-at-risk (CVaR). A case study based on data collected from a Portuguese system operator demonstrates the effectiveness of the proposed approach.