Related papers: Polynomial processes for power prices
The energy market relies on forecasting capabilities of both demand and power generation that need to be kept in dynamic balance. Today, when it comes to renewable energy generation, such decisions are increasingly made in a liberalized…
Electricity supply is not simply a matter of quantity, but a time lasting service that matches with a wave-like load curve. It logically deserves a pricing based on the curve per se rather than simply integral of load. This paper introduces…
Electricity markets are changing, driven by large-scale renewable integration and rising demand from electrification and digitalisation. This raises fundamental questions about how electricity prices form as the relationships among key…
It is known that solutions of Richardson equations can be represented as stationary points of the "energy" of classical free charges on the plane. We suggest to consider "probabilities" of the system of charges to occupy certain states in…
Electricity market price predictions enable energy market participants to shape their consumption or supply while meeting their economic and environmental objectives. By utilizing the basic properties of the supply-demand matching process…
We discuss and extend methods for estimating Markovian-Regime-Switching (MRS) and trend models for wholesale electricity prices. We argue the existing methods of trend estimation used in the electricity price modelling literature either…
Options have provided a field of much study because of the complexity involved in pricing them. The Black-Scholes equations were developed to price options but they are only valid for European styled options. There is added complexity when…
In this paper, a mathematical model is proposed to optimize the production level of Power Plants (PPs) in collusion and competitive markets and in the presence of external costs. To evaluate the model, two meta-heuristics, such as Genetic…
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…
We survey some new progress on the pricing models driven by fractional Brownian motion \cb{or} mixed fractional Brownian motion. In particular, we give results on arbitrage opportunities, hedging, and option pricing in these models. We…
Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can…
We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. While the literature is diverse on day-ahead prediction approaches, both the intraday continuous and intraday call-auction…
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps…
The reproducibility crisis has led to an increasing number of replication studies being conducted. Sample sizes for replication studies are often calculated using conditional power based on the effect estimate from the original study.…
The energy transition is profoundly reshaping electricity market dynamics. It makes it essential to understand how renewable energy generation actually impacts electricity prices, among all other market drivers. These insights are critical…
The problem of estimating the probability of a random process reaching a certain level is well known. In this article, two-sided estimates are established for the probability that a regenerative process reaches a high level. Two auxiliary…
We introduce a high-dimensional factor model with time-varying loadings. We cover both stationary and nonstationary factors to increase the possibilities of applications. We propose an estimation procedure based on two stages. First, we…
We consider a doubly stochastic Poisson process with stochastic intensity $\lambda_t =n q\left(X_t\right)$ where $X$ is a continuous It\^o semimartingale and $n$ is an integer. Both processes are observed continuously over a fixed period…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
In many realistic problems of allocating resources, economy efficiency must be taken into consideration together with social equality, and price rigidities are often made according to some economic and social needs. We study the…