Related papers: Structural price model for electricity coupled mar…
This paper introduces a computationally efficient comparative approach to classical pricing rules for day-ahead electricity markets, namely Convex Hull Pricing, IP Pricing and European-like market rules, in a Power Exchange setting with…
As distributed energy resources (DERs) proliferate, future power system will need new market platforms enabling prosumers to trade various electricity and grid-support products. However, prosumers often exhibit complex, product…
In this article we propose a multi-zonal integrated energy-reserve market model. We assume that bidders may submit their demand and supply bids on the one hand in the form of conventional hourly step bids and block bids, which are cleared…
The implementation of electricity markets based on locational marginal pricing in a multi-settlement process has allowed wholesale competition, with pricing mechanisms that incentivize the optimal allocation of generation, transmission, and…
Although electric power networks and district heating networks are physically coupled, they are not operated in a coordinated manner. With increasing penetration of renewable energy sources, a coordinated market-based operation of the two…
Power grids are moving towards 100% renewable energy source bulk power grids, and the overall dynamics of power system operations and electricity markets are changing. The electricity markets are not only dispatching resources economically…
While the field of electricity price forecasting has benefited from plenty of contributions in the last two decades, it arguably lacks a rigorous approach to evaluating new predictive algorithms. The latter are often compared using unique,…
Consider the problem of pricing options on forwards in energy markets, when spot prices follow a geometric multi-factor model in which several rates of mean reversion appear. In this paper we investigate the role played by slow mean…
We present a novel approach to probabilistic electricity price forecasting which utilizes distributional neural networks. The model structure is based on a deep neural network that contains a so-called probability layer. The network's…
The growing importance of intraday electricity trading in Europe calls for improved price forecasting and tailored decision-support tools. In this paper, we propose a novel generative neural network model to generate probabilistic path…
Cross-commodity valuation approaches to value gas fire power plants are well studied in the literature. Hence, the value of the gas fire power plant is identical to the value of a spark spread option wherein the underlying are electricity…
This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically…
As energy markets begin clearing at sub-hourly rates, their interaction with load control systems becomes a potentially important consideration. A simple model for the control of thermal systems using market-based power distribution…
This work focuses on the electric power market, comparing the status quo with the recent trend towards the increase in distributed self-generation capabilities by prosumers. Starting from the existing tension between the intrinsically…
Continuous integration of renewable energy sources into power networks is causing a paradigm shift in energy generation and distribution with regards to trading and control; the intermittent nature of renewable sources affects pricing of…
Zonal pricing is a well-suited mechanism to incentivize grid-supporting behavior of profit-maximizing producers and consumers operating on a large-scale power system. In zonal electricity markets, local system operators create individual…
During the last years, European intraday power markets have gained importance for balancing forecast errors due to the rising volumes of intermittent renewable generation. However, compared to day-ahead markets, the drivers for the intraday…
Electricity markets are experiencing a rapid increase in energy storage unit participation. Unlike conventional generation resources, quantifying the competitive operation and identifying if a storage unit is exercising market power is…
In this paper we introduce the problem of dynamic pricing of power for smart-grid networks. This is studied within a network utility maximization (NUM) framework in a deterministic setting with a single provider, multiple users and a finite…
We consider some crucial problems related to the secure and reliable operation of power systems with high renewable penetrations: how much reserve should we procure, how should reserve resources distribute among different locations, and how…