Related papers: Futures pricing in electricity markets based on st…
The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices…
This paper proposes an agent-based model that combines both spot and balancing electricity markets. From this model, we develop a multi-agent simulation to study the integration of the consumers' flexibility into the system. Our study…
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
Energy price forecasting is a relevant yet hard task in the field of multi-step time series forecasting. In this paper we compare a well-known and established method, ARMA with exogenous variables with a relatively new technique Gradient…
Electricity price forecasting supports decision-making in energy markets and asset operation. Probabilistic forecasts are increasingly adopted to explicitly quantify uncertainty, typically issued as quantile predictions or ensembles of the…
Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes $X+Z^\beta$ as the sum of a continuous It\^o semimartingale $X$ and a a mean-reverting compound Poisson process $Z_t^\beta = \int_0^t…
The increasing penetration of variable renewable energy and flexible demand technologies, such as electric vehicles and heat pumps, introduces significant uncertainty in power systems, resulting in greater imbalance; defined as the…
Due to the liberalization of markets, the change in the energy mix and the surrounding energy laws, electricity research is a dynamically altering field with steadily changing challenges. One challenge especially for investment decisions is…
Short-term electricity price forecasting has become important for demand side management and power generation scheduling. Especially as the electricity market becomes more competitive, a more accurate price prediction than the day-ahead…
The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits…
Frequency dynamics in power systems reflect active power imbalance in real time, thereby providing an instantaneous signal to inform electricity pricing. However, existing real-time markets operate on much slower timescales and fail to…
We address the need for forecasting methodologies that handle large uncertainties in electricity prices for continuous intraday markets by incorporating parameter uncertainty and using a broad set of covariables. This study presents the…
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems from the futures holder's timing options to exercise the…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model…
In this study we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY driven Ornstein- Uhlenbeck process. To this end, we first calculate the characteristic function of the…
We examine the novel problem of the estimation of transaction arrival processes in the intraday electricity markets. We model the inter-arrivals using multiple time-varying parametric densities based on the generalized F distribution…
Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on…
An increase in energy production from renewable energy sources is viewed as a crucial achievement in most industrialized countries. The higher variability of power production via renewables leads to a rise in ancillary service costs over…
We propose a scenario-oriented approach for energy-reserve joint procurement and pricing for electricity market. In this model, without the empirical reserve requirements, reserve is procured according to all possible contingencies and…