Related papers: A Stochastic Electricity Market Clearing Formulati…
In order to deal with market power that sporadically results from contingencies (e.g., severe weather, plant outages) most electricity markets have institutions in charge of monitoring market performance and mitigating market power. The…
Congestion game is a widely used model for modern networked applications. A central issue in such applications is that the selfish behavior of the participants may result in resource overloading and negative externalities for the system…
There are various undergoing efforts by system operators to set up an electricity market at the distribution level to enable a rapid and widespread deployment of distributed energy resources (DERs) and microgrids. This paper follows the…
Probabilistic price forecasting has recently gained attention in power trading because decisions based on such predictions can yield significantly higher profits than those made with point forecasts alone. At the same time, methods are…
In this paper, statistical machine learning algorithms, as well as deep neural networks, are used to predict the values of the price gap between day-ahead and real-time electricity markets. Several exogenous features are collected and…
Stochastic computing has a long history as an alternative method of performing arithmetic on a computer. While it can be considered an unbiased estimator of real numbers, it has a variance and MSE on the order of $\Omega(\frac{1}{N})$. On…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…
We examine two-sided markets where players arrive stochastically over time and are drawn from a continuum of types. The cost of matching a client and provider varies, so a social planner is faced with two contending objectives: a) to reduce…
In contemporary digital markets, personal data often reveals not just isolated traits, but complex, intersectional identities based on combinations of race, gender, disability, and other protected characteristics. This exposure generates a…
Deterministic frequency deviations (DFDs) are systematic and predictable excursions of grid frequency that arise from synchronized generation ramps induced by electricity market scheduling. In this paper, we analyze the impact of the…
In most social choice settings, the participating agents express their preferences over the different alternatives in the form of linear orderings. While this clearly simplifies preference elicitation, it inevitably leads to poor…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
As markets have digitized, the number of tradable products has skyrocketed. Algorithmically constructed portfolios of these assets now dominate public and private markets, resulting in a combinatorial explosion of tradable assets. In this…
In this study, we develop a theoretical model of strategic equilibrium bidding and price-setting behaviour by heterogeneous and boundedly rational electricity producers and a grid operator in a single electricity market under uncertain…
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…
Stochastic matching is the stochastic version of the well-known matching problem, which consists in maximizing the rewards of a matching under a set of probability distributions associated with the nodes and edges. In most stochastic…
We present an online stochastic model predictive control framework for demand charge management for a grid-connected consumer with attached electrical energy storage. The consumer we consider must satisfy an inflexible but stochastic…
Electricity storage is used for intertemporal price arbitrage and for ancillary services that balance unforeseen supply and demand fluctuations via frequency regulation. We present an optimization model that computes bids for both arbitrage…
We examine random variables in the power law/regularly varying class with stochastic tail exponent, the exponent $\alpha$ having its own distribution. We show the effect of stochasticity of $\alpha$ on the expectation and higher moments of…