Related papers: A Stochastic Electricity Market Clearing Formulati…
Our work introduces the effect of supply/demand imbalances into the literature on online matching with stochastic rewards in bipartite graphs. We provide a parameterized definition that characterizes instances as over- or undersupplied (or…
We introduce pricing formulas for competition and collusion models of two-sided markets with an outside option. For the competition model, we find conditions under which prices and consumer surplus may increase or decrease if the outside…
Pricing and settlement mechanisms are crucial for efficient re-source allocation, investment incentives, market competition, and regulatory oversight. In the United States, Regional Transmission Operators (RTOs) adopts a uniform pricing…
Electricity is traded on various markets with different time horizons and regulations. Short-term intraday trading becomes increasingly important due to the higher penetration of renewables. In Germany, the intraday electricity price…
Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and risk-constrained strategies for stochastic…
A central challenge in using price signals to coordinate the electricity consumption of a group of users is the operator's lack of knowledge of the users due to privacy concerns. In this paper, we develop a two-time-scale incentive…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
In the presence of non-convexities, the power market may not have an equilibrium price for power that provides economic stability of the centralized dispatch outcome. In this case, to achieve an economically stable outcome, the uplift…
This paper introduces a new computational framework to account for uncertainties in day-ahead electricity market clearing process in the presence of demand response providers. A central challenge when dealing with many demand response…
The rapid increase of photovoltaic cells, batteries, and Electric Vehicles (EVs) in electric grids can result in congested distribution networks. An alternative to enhancing network capacity is a redispatch market, allowing Distribution…
Purpose: Trading on electricity markets occurs such that the price settlement takes place before delivery, often day-ahead. In practice, these prices are highly volatile as they largely depend upon a range of variables such as electricity…
For the case of inflexible demand and considering network constraints, we introduce a Cost Minimisation (CM) based market clearing mechanism, and a model representing the standard Social Welfare Maximisation mechanism used in European Day…
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…
A widely used heuristic for solving stochastic optimization problems is to use a deterministic rolling horizon procedure, which has been modified to handle uncertainty (e.g. buffer stocks, schedule slack). This approach has been criticized…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market…
This study examines the impact of different computing implementations of clearing mechanisms on multi-asset price dynamics within an artificial stock market framework. We show that sequential processing of order books introduces a…