Related papers: Volatility of Power Grids under Real-Time Pricing
The manufacturing industry is under growing pressure to enhance sustainability while preserving economic competitiveness. As a result, manufacturers have been trying to determine how to integrate onsite renewable energy and real-time…
Power grids sustain modern society by supplying electricity and thus their stability is a crucial factor for our civilization. The dynamic stability of a power grid is usually quantified by the probability of its nodes' recovery to phase…
The influence of the past price behaviour on the realized volatility is investigated in the present article. The results show that trending (drifting) prices lead to increased (decreased) realized volatility. This ``volatility induced by…
Understanding and predicting the electricity demand responses to prices are critical activities for system operators, retailers, and regulators. While conventional machine learning and time series analyses have been adequate for the routine…
Ambitious renewable portfolio standards motivate the incorporation of energy storage resources (ESR) as sources of flexibility. While the United States government aims to promote ESR participation in electricity markets, work on market…
Operational flexibility is an important property of electric power systems and plays a crucial role for the transition of today's power systems, many of them based on fossil fuels, towards power systems that can efficiently accommodate high…
This paper evaluates the impact of the power extent on price in the electricity market. The competitiveness extent of the electricity market during specific times in a day is considered to achieve this. Then, the effect of competitiveness…
The increased market penetration of renewable energy sources and the rapid development of electric battery storage technologies yield a potential for reducing electricity price volatility while maintaining stability of the power grid. This…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations…
Flexible load at the demand-side has been regarded as an effective measure to cope with volatile distributed renewable generations. To unlock the demand-side flexibility, this paper proposes a peer-to-peer energy sharing mechanism that…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…
This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their…
Modern information and communication technologies used by smart grids are subject to cybersecurity threats. This paper studies the impact of integrity attacks on real-time pricing (RTP), a key feature of smart grids that uses such…
Renewable electricity generation has grown significantly across many European power systems, leading to a greener energy mix, but also additional complexity in balancing electricity supply and demand. Unexpected differences between…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
Mitigating losses from supply and demand volatility in the semiconductor supply chain and market has traditionally been cast as a logistics and forecasting problem. We investigate how the architecture of a family of chips influences how it…
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…