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In wholesale electricity markets, prices fluctuate widely from hour to hour and electricity generators price-hedge their output using longer-term contracts, such as monthly base futures. Consequently, the incentives they face to drive up…
We investigate the profitability and risk of energy storage arbitrage in electricity markets under price uncertainty, exploring both robust and chance-constrained optimization approaches. We analyze various uncertainty representations,…
Electricity markets are transforming from the dominance of conventional energy resources (CERs), e.g., fossil fuels, to low-carbon energy resources (LERs), e.g., renewables and energy storage. This work examines market mechanisms to…
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…
Electricity systems are experiencing increased effects of randomness and variability due to emerging stochastic assets. The increased effects introduce new uncertainties into power systems that can impact system operability and reliability.…
As conventional flexibility providers are gradually being replaced by variable renewable energies and electricity demand keeps rising, additional flexibility will become increasingly valuable for the power system. Meanwhile, new sources of…
This paper considers the reliability problem in energy-only markets. Following widespread blackouts in 2011, Texas introduced a reliability price incentive to attract two GW of net additional natural gas-generating capacity. The incentive…
Inflexible combined heat and power (CHP) plants and uncertain wind power production result in excess power in distribution networks, which leads to inverse power flow challenging grid operations. Power-to-X facilities such as electrolysers…
Forecast reconciliation is considered an effective method to achieve coherence (within a forecast hierarchy) and to improve forecast quality. However, the value of reconciled forecasts in downstream decision-making tasks has been mostly…
The capacity market, a marketplace to exchange available generation capacity for electricity production, provides a major revenue stream for generators and is adopted in several U.S. regions. A subject of ongoing debate, the capacity market…
With the fast growth of wind power penetration, power systems need additional flexibility to cope with wind power ramping. Several electricity markets have established requirements for flexible ramping capacity (FRC) reserves. This paper…
The market revenue for variable renewable electricity (VRE) assets has been under intense scrutiny during the last few years. The observation that wind and solar power depress market prices at times when they produce the most has been…
Coordinating the operation of units at the interface between heat and electricity systems, such as combined heat and power plants and heat pumps, is essential to reduce inefficiencies in each system and help achieve a cost-effective and…
We introduce a model for a market based economic system of cyber-risk valuation to correct fundamental problems of incentives within the information technology and information processing industries. We assess the makeup of the current day…
In this paper we introduce a new concept for modelling electricity prices through the introduction of an unobservable intrinsic electricity price $p(\tau)$. We use it to connect the classical theory of storage with the concept of a risk…
Over the past years, the share of electricity production from wind power plants has increased to significant levels in several power systems across Europe and the United States. In order to cope with the fluctuating and partially…
Reliability Options are capacity remuneration mechanisms aimed at enhancing security of supply in electricity systems. They can be framed as call options on electricity sold by power producers to System Operators. This paper provides a…
In two-stage electricity markets, renewable power producers enter the day-ahead market with a forecast of future power generation and then reconcile any forecast deviation in the real-time market at a penalty. The choice of the forecast…
Traditional electric energy markets do not explicitly model generator contingencies. To improve the representation of resources and to enhance the modeling of uncertainty, existing markets are moving in the direction of including generator…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model…