Related papers: Electricity Market Theory Based on Continuous Time…
We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including electric power markets and the power systems they intend to govern. Market-based control is founded on the conjecture that…
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are inspired by -- and can be seen as the robust analogues of --…
Volatile electrical energy prices are a challenge and an opportunity for small and medium-size companies in energy-intensive industries. By using electrical energy storage and/or an adaptation of production processes, companies can…
Wholesale electricity markets in many jurisdictions use a two-settlement structure: a day-ahead market for bulk power transactions and a real-time market for fine-grain supply-demand balancing. This paper explores trading demand response…
Precise day-ahead forecasts for electricity prices are crucial to ensure efficient portfolio management, support strategic decision-making for power plant operations, enable efficient battery storage optimization, and facilitate demand…
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…
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…
Renewable sources are taking center stage in electricity generation. However, matching supply with demand in a renewable-rich system is a difficult task due to the intermittent nature of renewable resources (wind, solar, etc.). As a result,…
The paper develops a typical management problem of a large power producer (i.e., he can partly influence the market price). In particular, he routinely needs to decide how much of his generation it is preferable to commit to fixed price…
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…
The study of Day-Ahead prices in the electricity market is one of the most popular problems in time series forecasting. Previous research has focused on employing increasingly complex learning algorithms to capture the sophisticated…
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…
The demand response provides an opportunity for load serving entities (LSEs) that operate retail electricity markets (REMs) to strategically purchase energy and provide reserves in wholesale electricity markets (WEMs). This paper concerns…
Quantity and price risks are key uncertainties market participants face in electricity markets with increased volatility, for instance, due to high shares of renewables. From day ahead until real-time, there is a large variation in the best…
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…
This paper proposes a market mechanism for multi-interval electricity markets with generator and storage participants. Drawing ideas from supply function bidding, we introduce a novel bid structure for storage participation that allows…
This paper introduces and rationalizes a new model for bidding and clearing energy storage resources in wholesale energy markets. Charge and discharge bids in this model depend on the storage state-of-charge (SoC). In this setting, storage…
Adopting a zonal structure of electricity market requires specification of zones' borders. One of the approaches to identify zones is based on clustering of Locational Marginal Prices (LMP). The purpose of the paper is twofold: (i) we…
We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…