Related papers: Polynomial processes for power prices
We introduce a non-Markovian model for electricity markets where the spot price of electricity is driven by several Gaussian Volterra processes, which can be e.g., fractional Brownian motions (fBms), Riemann-Liouville processes or…
We propose a scenario-oriented approach for energy-reserve joint procurement and pricing for electricity market. In this model, without the empirical reserve requirements, reserve is procured according to all possible contingencies and…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
A system of renewal equations on a graph provides a framework to describe the exploitation of a biological resource. In this context, we formulate an optimal control problem, prove the existence of an optimal control and ensure that the…
Computational complexity is examined using the principle of increasing entropy. To consider computation as a physical process from an initial instance to the final acceptance is motivated because many natural processes have been recognized…
We study the power and limitations of posted prices in multi-unit markets, where agents arrive sequentially in an arbitrary order. We prove upper and lower bounds on the largest fraction of the optimal social welfare that can be guaranteed…
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the…
Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes $X+Z^\beta$ as the sum of a continuous It\^o semimartingale $X$ and a a mean-reverting compound Poisson process $Z_t^\beta = \int_0^t…
This paper is devoted to filtering, smoothing, and prediction of polynomial processes that are partially observed. These problems are known to allow for an explicit solution in the simpler case of linear Gaussian state space models. The key…
Prosumer consortium energy transactive models can be one of the solutions for energy costs, increasing performance and for providing reliable electricity utilizing distributed power generation, to a local group or community, like a…
We propose a new model for electricity pricing based on the price cap principle. The particularity of the model is that the asset price is an exponential functional of a jump L\'evy process. This model can capture both mean reversion and…
The partition of society into groups, polarization, and social networks are part of most conversations today. How do they influence price competition? We discuss Bertrand duopoly equilibria with demand subject to network effects. Contrary…
The United States' power market is featured by the lack of judicial power at the federal level. The market thus provides a unique testing environment for the market organization structure. At the same time, the econometric modeling and…
We give a formula in terms of a joint Gibbs measure on Brownian paths and the measure of a random-time Poisson process of the ground state expectations of fractional (in fact, any real) powers of the boson number operator in the Nelson…
The present paper describes a practical example in which the probability distribution of the prices of a stock market blue chip is calculated as the wave function of a quantum particle confined in a potential well. This model may naturally…
This paper proposes an agent-based model that combines both spot and balancing electricity markets. From this model, we develop a multi-agent simulation to study the integration of the consumers' flexibility into the system. Our study…
This paper explores different methods to estimate prices paid per efficiency unit of labor in panel data. We study the sensitivity of skill price estimates to different assumptions regarding workers' choice problem, identification…
A method for computing the thermopower in interacting systems is proposed. This approach, which relies on Monte Carlo simulations, is illustrated first for a diatomic chain of hard-point elastically colliding particles and then in the case…
The problem of heat and electricity pricing in combined heat and power systems regarding the time scales of electricity and heat, as well as thermal energy quality, is studied. Based on the asynchronous coordinated dispatch of the combined…
In this paper we include dependency structures for electricity price forecasting and forecasting evaluation. We work with off-peak and peak time series from the German-Austrian day-ahead price, hence we analyze bivariate data. We first…