Related papers: An optimal trading problem in intraday electricity…
High penetration of renewable energy source makes microgrid (MGs) be environment friendly. However, the stochastic input from renewable energy resource brings difficulty in balancing the energy supply and demand. Purchasing extra energy…
Accurate and efficient imbalance electricity price forecasting is critical for industrial energy trading systems, especially as battery assets and automated bidding pipelines increasingly participate in balancing markets. However, real-time…
We examine market outcomes in energy transport networks with a focus on gas-fired generators, which are producers in a wholesale electricity market and consumers in the natural gas market. Market administrators monitor bids to determine…
The future power system is increasingly interconnected via both AC and DC interconnectors. These interconnectors establish links between previously decoupled energy markets. In this paper, we propose an optimal multi-market energy storage…
In this paper we study the so-called minimum income condition order, which is used in some day-ahead electricity power exchanges to represent the production-related costs of generating units. This order belongs to the family of complex…
Aggregators are playing an increasingly crucial role in the integration of renewable generation in power systems. However, the intermittent nature of renewable generation makes market interactions of aggregators difficult to monitor and…
I consider the problem of the optimal limit order price of a financial asset in the framework of the maximization of the utility function of the investor. The analytical solution of the problem gives insight on the origin of the recently…
We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently…
The electricity market, which was initially designed for dispatchable power plants and inflexible demand, is being increasingly challenged by new trends, such as the high penetration of intermittent renewables and the transformation of the…
We investigate the problem of allocating energy from renewable sources to flexible consumers in electricity markets. We assume there is a renewable energy supplier that provides energy according to a time-varying (and possibly…
Increased penetration of wind energy will make electricity market prices more volatile. As a result, market participants will bear increased financial risks, which impact investment decisions and in turn, makes it harder to achieve…
The use of energy storage to balance electric grids is increasing and, with it, the importance of operational optimisation from the twin viewpoints of cost and system stability. In this paper we assess the real option value of balancing…
In this study, an optimization problem is proposed in order to obtain the maximum economic benefit from wind farms with variable and intermittent energy generation in the day ahead and balancing electricity markets. This method, which is…
In the present work we develop a formalism to tackle the problem of optimal execution when trading market securities. More precisely, we introduce a utility function that balances market impact and timing risk, with this last being modelled…
In this paper, we consider the electricity cost minimization problem in a residential network where each community is equipped with a distributed power generation source and every household in the community has a set of essential and…
We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…
Wind power producers (WPPs) participating in short-term power markets face significant imbalance costs due to their non-dispatchable and variable production. While some WPPs have a large enough market share to influence prices with their…
An increasing number of retail energy markets show price fluctuations, providing users with the opportunity to buy energy at lower than average prices. We propose to temporarily store this inexpensive energy in a battery, and use it to…
We consider the scenario where $N$ utilities strategically bid for electricity in the day-ahead market and balance the mismatch between the committed supply and actual demand in the real-time market, with uncertainty in demand and local…
Battery participants in performance-based frequency regulation markets must consider the cost of battery aging in their operating strategies to maximize market profits. In this paper we solve this problem by proposing an optimal control…