Arbitrage opportunities in Turkish electricity spot market within the framework of wind forecast errors

Just as the use of electricity in our lives is very diverse, many different markets have been developed for the professional trade of electricity. Although the purpose of establishing these markets is to decrease energy imbalances and increase system security, market participants find an additional trading opportunity in these various markets. The aim of this study is to investigate a possible arbitrage opportunity between spot markets (Day Ahead Market and Intraday Market) in this trading environment. In order to determine arbitrage opportunities in the Intraday Market, the categorization prepared according to how many minutes in advance the Intraday Market transactions in the spot markets took place by analyzing historical Turkish electricity market data, a certain routine or pattern is obtained. If there is such an opportunity, the conditions under which this arbitrage should take place will also be resolved in the perspective of wind forecast errors. The univariate regression model created with wind forecast errors and price differences in different markets will measure how the change in wind forecasts in the routine arbitrage hours affects the price. An arbitrage strategy was determined for the unidirectional change of wind in 8 of the 11 tranches determined.