Related papers: Structural price model for electricity coupled mar…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
We establish sufficient conditions for nodal price response matrix in electric power system to be symmetric and negative (semi-)definite. The results are applicable for electricity markets with nonlinear and intertemporal constraints.
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…
In this paper we introduce an additive two-factor model for electricity futures prices based on Normal Inverse Gaussian L\'evy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We compute European option prices by Fourier…
In this paper we calculate the incremental system production cost associated with a measure of locational power injection uncertainty that can be interpreted as a locational price for tracking power fluctuations. This Locational Price of…
This paper introduces a novel Bayesian reverse unrestricted mixed-frequency model applied to a panel of nine European electricity markets. Our model analyzes the impact of daily fossil fuel prices and hourly renewable energy generation on…
Electricity price forecasting is a critical tool for the efficient operation of power systems and for supporting informed decision-making by market participants. This paper explores a novel methodology aimed at improving the accuracy of…
Electricity markets are under increasing pressure to maintain reliability amidst rising renewable penetration, demand variability, and occasional price shocks. Traditional capacity market designs often fall short in addressing this by…
A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own…
The start up costs in many kinds of generators lead to complex cost structures, which in turn yield severe market loopholes in the locational marginal price (LMP) scheme. Convex hull pricing (a.k.a. extended LMP) is proposed to improve the…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…
The reliable estimation of forecast uncertainties is crucial for risk-sensitive optimal decision making. In this paper, we propose implicit generative ensemble post-processing, a novel framework for multivariate probabilistic electricity…
We conduct an extensive empirical study on short-term electricity price forecasting (EPF) to address the long-standing question if the optimal model structure for EPF is univariate or multivariate. We provide evidence that despite a minor…
Demand response provides utilities with a mechanism to share with end users the stochasticity resulting from the use of renewable sources. Pricing is accordingly used to reflect energy availability, to allocate such a limited resource to…
As distribution systems move towards being more actively managed there is increased potential for regional markets and the application of locational marginal prices (LMPs) to capture spatial variation in the marginal cost of electricity at…
Motivated by the increasing integration among electricity markets, in this paper we propose two different methods to incorporate market integration in electricity price forecasting and to improve the predictive performance. First, we…
There is a growing interest in the integration of energy infrastructures to increase systems' flexibility and reduce operational costs. The most studied case is the synergy between electric and heating networks. Even though integrated heat…
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…
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…
This paper deals with the market-bidding problem of a cluster of price-responsive consumers of electricity. We develop an inverse optimization scheme that, recast as a bilevel programming problem, uses price-consumption data to estimate the…