Related papers: Locational Marginal Price Variability at Distribut…
This paper presents a dynamic pricing and energy management framework for electric vehicle (EV) charging service providers. To set the charging prices, the service providers faces three uncertainties: the volatility of wholesale electricity…
Natural gas is undoubtedly an essential component of the global energy system. Accurate short-term forecasting of natural gas price is challenging due to pronounced volatility driven by seasonal demand patterns, geopolitical developments,…
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative pricing model where the underlying spot…
Recent years have seen a rich literature of data-driven approaches designed for power grid applications. However, insufficient consideration of domain knowledge can impose a high risk to the practicality of the methods. Specifically,…
We investigate how liquidity providers (LPs) choose between high- and low-fee trading venues, in the face of a fixed common gas cost. Analyzing Uniswap data, we find that high-fee pools attract 58% of liquidity supply yet execute only 21%…
Load aggregators are independent private entities whose goal is to optimize energy consumption flexibilities offered by multiple residential consumers. Although aggregators optimize their decisions in a decentralized way, they are…
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…
In this article, a multiple split method is proposed that enables construction of multidimensional probabilistic forecasts of a selected set of variables. The method uses repeated resampling to estimate uncertainty of simultaneous…
It is no secret that statistical modelling often involves making simplifying assumptions when attempting to study complex stochastic phenomena. Spatial modelling of extreme values is no exception, with one of the most common such…
This paper proposes a novel continuous Local Flexibility Market where active power flexibility located in the distribution system can be traded. The market design engages the Market Operator, the Distribution System Operator and Market…
The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market design in many countries, but it has…
Renewable energy brings huge uncertainties to the power system, which challenges the traditional power system operation with limited flexible resources. One promising solution is to introduce dynamic pricing to more consumers, which, if…
The European day-ahead electricity market is split into multiple bidding zones with a uniform price. The increase in renewables leads to a growing number of interventions in the generation of energy sources and increasing redispatch costs.…
In this paper we provide evidence that financial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the individual constituent distributions of an equity index are inferred…
The rapid electrification of residential heating and mobility sectors is expected to drive the existing distribution grid assets beyond their planned operating conditions. This change will also reveal new potentials through sector coupling,…
Relationships between the energy and the finance markets are increasingly important. Understanding these relationships is vital for policymakers and other stakeholders as the world faces challenges such as satisfying humanity's increasing…
This paper focuses on price-based residential demand response implemented through dynamic adjustments of electricity prices during DR events. It extends existing DR models to a stochastic framework in which customer response is represented…
Power grid outages cause huge economical and societal costs. Disruptions in the power distribution grid are responsible for a significant fraction of electric power unavailability to customers. The impact of extreme weather conditions,…
Storage is expected to be a critical source of firming in low-carbon grids. A common concern raised from ex-post assessments is that storage resources can fail to respond to strong price signals during times of scarcity. While commonly…
The smart grid vision entails advanced information technology and data analytics to enhance the efficiency, sustainability, and economics of the power grid infrastructure. Aligned to this end, modern statistical learning tools are leveraged…