Related papers: Modeling and forecasting electricity spot prices: …
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
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…
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…
This paper exploits the Duration-of-Use of the demand patterns as a key concept for dealing with demand side flexibility. Starting from the consideration that fine-grained energy metering is not used at the point of supply of the…
Coordination of distributed energy resources is critical for electricity grid management. Although nodal pricing schemes can mitigate congestion and voltage deviations, the resulting prices are not necessarily equitable. In this work, we…
The problem of dynamic pricing of electricity in a retail market is considered. A Stackelberg game is used to model interactions between a retailer and its customers; the retailer sets the day-ahead hourly price of electricity and consumers…
The recent energy crisis starting in 2021 led to record-high gas, coal, carbon and power prices, with electricity reaching up to 40 times the pre-crisis average. This had dramatic consequences for operational and risk management prompting…
This paper introduces a new approach for estimating core inflation indicators based on common factors across a broad range of price indices. Specifically, by utilizing procedures for detecting multiple regimes in high-dimensional factor…
Day Ahead Electricity Markets (DAMs) in India are thin but growing. Consistent price forecasts are important for their utilization in portfolio optimization models. Univariate or multivariate models with standard exogenous variables such as…
In the modern power market, electricity trading is an extremely competitive industry. More accurate price forecast is crucial to help electricity producers and traders make better decisions. In this paper, a novel method of convolutional…
We study the problem of forecasting and optimally trading day-ahead versus real-time (DART) price spreads in U.S. wholesale electricity markets. Building on the framework of Galarneau-Vincent et al., we extend spike prediction from a single…
The transition from traditional power grids to smart grids, significant increase in the use of renewable energy sources, and soaring electricity prices has triggered a digital transformation of the energy infrastructure that enables new,…
Electricity markets are experiencing a rapid increase in energy storage unit participation. Unlike conventional generation resources, quantifying the competitive operation and identifying if a storage unit is exercising market power is…
The United States' power market is featured by the lack of judicial power at the federal level. The market thus provides a unique testing environment for the market organization structure. At the same time, the econometric modeling and…
This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian motion model in which the coefficients…
In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition…
Models simulating household energy demand based on different occupant and household types and their behavioral patterns have received increasing attention over the last years due the need to better understand fundamental characteristics…
In smart grid, a home appliance can adjust its power consumption level according to the realtime power price obtained from communication channels. Most studies on smart grid do not consider the cost of communications which cannot be ignored…
We investigate high frequency price dynamics in foreign exchange market using data from Reuters information system (the dataset has been provided to us by Ols en & Associates). In our analysis we show that a na\"ive approach to the…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…