Related papers: Using published bid/ask curves to error dress spot…
Forecasting imbalance prices is essential for strategic participation in the short-term energy markets. A novel two-step probabilistic approach is proposed, with a particular focus on the Belgian case. The first step consists of computing…
The availability of historical data related to electricity day-ahead prices and to the underlying price formation process is limited. In addition, the electricity market in Europe is facing a rapid transformation, which limits the…
We study the problem of learning shared structure \emph{across} a sequence of dynamic pricing experiments for related products. We consider a practical formulation where the unknown demand parameters for each product come from an unknown…
A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own…
We present an open-source solution for the operational control of drinking water distribution networks which accounts for the inherent uncertainty in water demand and electricity prices in the day-ahead market of a volatile deregulated…
The exponential growth of renewable energy capacity has brought much uncertainty to electricity prices and to electricity generation. To address this challenge, the energy exchanges have been developing further trading possibilities,…
In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves data and errors in wind and solar power…
When calibrating spatial partial equilibrium models with conjectural variations, some modelers fit the suppliers' sales to the available data in addition to total consumption and price levels. While this certainly enhances the quality of…
This paper introduces a computationally efficient comparative approach to classical pricing rules for day-ahead electricity markets, namely Convex Hull Pricing, IP Pricing and European-like market rules, in a Power Exchange setting with…
Prediction markets rely on liquidity to convert trades into informative prices, yet existing mechanisms fix liquidity ex ante. This restriction enforces a static trade-off between price responsiveness and worst-case loss despite inherently…
Demand response (DR) refers to change in electricity consumption pattern of customers during on-peak hours in lieu of financial gains to reduce stress on distribution systems. Existing dynamic price models have not provided adequate success…
The rapid growth of distributed energy resources (DERs) presents both opportunities and operational challenges for electric grid management. Accurately predicting DER adoption is critical for proactive infrastructure planning, but the…
Accurate electricity price forecasting is critical for strategic decision-making in deregulated electricity markets, where volatility stems from complex supply-demand dynamics and external factors. Traditional point forecasts often fail to…
In this study we consider the pricing of energy derivatives when the evolution of spot prices is modeled with a normal tempered stable driven Ornstein-Uhlenbeck process. Such processes are the generalization of normal inverse Gaussian…
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…
Classical time series models have serious difficulties in modeling and forecasting the enormous fluctuations of electricity spot prices. Markov regime switch models belong to the most often used models in the electricity literature. These…
In this paper, we study the price responsiveness of electricity consumption from empirical commercial and industrial load data obtained from Texas. Employing a dynamical system perspective, we show that price responsive demand can be…
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…
Simultaneous ascending auctions present agents with the exposure problem: bidding to acquire a bundle risks the possibility of obtaining an undesired subset of the goods. Auction theory provides little guidance for dealing with this…
The European power grid can be divided into several market areas where the price of electricity is determined in a day-ahead auction. Market participants can provide continuous hourly bid curves and combinatorial bids with associated…