Zarządzanie ryzykiem rynkowym małego producenta energii odnawialnej przy użyciu prognozowania 
modelami typu bootstrap
[Managing market risk for a small renewable energy generator using bootstrap-based forecasts]

Weronika Nitka (Doctoral School - Management, PWr, Wrocław)


A small renewable energy utility, e.g., a wind farm, is susceptible to multiple sources of 
business risk. They operate in the power market, where prices tend to be highly volatile. 
Additionally, contrary to conventional power plants, the amount of energy they may produce is 
subject to uncertainty. In this work, we aim to mitigate these risks by proposing a strategy 
for optimizing the amount of energy offered in the day-ahead market by such a utility. In a 
simulation study, we use an autoregressive bootstrap-type model to produce joint 
probabilistic forecasts of market prices and wind energy generation, and show that they can 
be successfully used to make data-driven business decisions.