Related papers: Selling Demand Response Using Options
As the proportion of total power supplied by renewable sources increases, it gets more costly to use reserve generation to compensate for the variability of renewables like solar and wind. Hence attention has been drawn to exploiting…
This paper studies matching markets in the presence of middlemen. In our framework, a buyer-seller pair may either trade directly or use the services of a middleman; and a middleman may serve multiple buyer-seller pairs. Direct trade…
In this work, we study spectrum auction problem where each request from secondary users has spatial, temporal, and spectral features. With the requests of secondary users and the reserve price of the primary user, our goal is to design…
Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…
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…
Energy storage resources must consider both price uncertainties and their physical operating characteristics when participating in wholesale electricity markets. This is a challenging problem as electricity prices are highly volatile, and…
Future electricity distribution grids will host a considerable share of the renewable energy sources needed for enforcing the energy transition. Demand side management mechanisms play a key role in the integration of such renewable energy…
Electricity markets are experiencing a rapid increase in energy storage unit participation. Unlike conventional generation resources, quantifying the competitive operation and identifying if a storage unit is exercising market power is…
The demand response provides an opportunity for load serving entities (LSEs) that operate retail electricity markets (REMs) to strategically purchase energy and provide reserves in wholesale electricity markets (WEMs). This paper concerns…
We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed call prices through an arbitrage-free autoencoder that…
With the rapid development of distributed energy resources, increasing number of residential and commercial users have been switched from pure electricity consumers to prosumers that can both consume and produce energy. To properly manage…
Two-stage electricity market clearing is designed to maintain market efficiency under ideal conditions, e.g., perfect forecast and nonstrategic generation. This work demonstrates that the individual strategic behavior of inelastic load…
Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…
In this article we propose a multi-zonal integrated energy-reserve market model. We assume that bidders may submit their demand and supply bids on the one hand in the form of conventional hourly step bids and block bids, which are cleared…
An optimal scheduling model for a microgrid participating in the electricity distribution market in interaction with a Distribution Market Operator (DMO) is proposed in this paper. The DMO administers the established electricity market in…
In this paper we develop a novel method of wholesale electricity market modeling. Our optimization-based model decomposes wholesale supply and demand curves into buy and sell orders of individual market participants. In doing so, the model…
Amazon EC2 provides two most popular pricing schemes--i) the {\em costly} on-demand instance where the job is guaranteed to be completed, and ii) the {\em cheap} spot instance where a job may be interrupted. We consider a user can select a…
This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each…
Procurement in maritime logistics faces challenges due to uncertainties in demand and fluctuating market conditions. To address these complexities, we introduce a flexible discrete-event simulation framework that models the request-to-order…
The main goal of a sequential two-stage electricity market -- e.g., day-ahead and real-time markets -- is to operate efficiently. However, the price difference across stages due to inadequate competition and unforeseen circumstances leads…