Related papers: Structural price model for electricity coupled mar…
The availability of accurate day-ahead electricity price forecasts is pivotal for electricity market participants. In the context of trade liberalisation and market harmonisation in the European markets, accurate price forecasting becomes…
In this paper we develop a novel method of wholesale electricity market modeling. Our optimization-based model decomposes wholesale supply and demand curves into buy and sell orders of individual market participants. In doing so, the model…
We propose a novel machine learning approach for probabilistic forecasting of hourly day-ahead electricity prices. In contrast with the recent advances in data-rich probabilistic forecasting, which approximates distributions with few…
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniqueness…
Aggregated curves are common structures in economics and finance, and the most prominent examples are supply and demand curves. In this study, we exploit the fact that all aggregated curves have an intrinsic hierarchical structure, and thus…
This article reviews different kinds of models for the electric power grid that can be used to understand the modern power system, the smart grid. From the physical network to abstract energy markets, we identify in the literature different…
This paper evaluates the impact of the power extent on price in the electricity market. The competitiveness extent of the electricity market during specific times in a day is considered to achieve this. Then, the effect of competitiveness…
In this paper we investigate predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the…
The shift towards an energy Grid dominated by prosumers (consumers and producers of energy) will inevitably have repercussions on the distribution infrastructure. Today it is a hierarchical one designed to deliver energy from large scale…
In this paper, we propose a bilateral peer-to-peer (P2P) energy trading scheme for residential prosumers with a simplified entry to the market. We formulate the market as an assignment game, a special class of coalitional games. For solving…
A large fraction of the total electric load is comprised of end-use devices whose demand for energy is inherently deferrable in time. Of interest is the potential to leverage on such latent flexibility in demand to absorb variability in…
The increased market penetration of renewable energy sources and the rapid development of electric battery storage technologies yield a potential for reducing electricity price volatility while maintaining stability of the power grid. This…
The recent widespread adoption of rooftop solar backed by battery storage is enabling energy customers to both produce and consume electricity (i.e., prosumers of electricity). To facilitate prosumer participation in the electric grid, new…
Peer-to-peer (P2P) electricity markets enable prosumers to minimize their costs, which has been extensively studied in recent research. However, there are several challenges with P2P trading when physical network constraints are also…
Accurate forecasts of electricity spot prices are essential to the daily operational and planning decisions made by power producers and distributors. Typically, point forecasts of these quantities suffice, particularly in the Nord Pool…
In the restructured electricity industry, electricity pooling markets are an oligopoly with strategic producers possessing private information (private production cost function). We focus on pooling markets where aggregate demand is…
We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential L\'evy models driven by one-sided stable or tempered stable processes. Pricing formulas take…
Nothing has done more to empower the free market, enterprise, and meritocracy than the spread of electricity and power to everyone. The power system has been the precursor to the greatest period of innovation in our history and has meant…
The interconnected European Electricity Markets see considerable cross-border trade between different countries. In conjunction with the structure and technical characteristics of the power grid and its operating rules, the corresponding…
Energy markets exhibit complex causal relationships between weather patterns, generation technologies, and price formation, with regime changes occurring continuously rather than at discrete break points. Current approaches model…