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We propose a framework for general probabilistic multi-step time series regression. Specifically, we exploit the expressiveness and temporal nature of Sequence-to-Sequence Neural Networks (e.g. recurrent and convolutional structures), the…
We propose a general framework for the simultaneous modeling of equity, government bonds, corporate bonds and derivatives. Uncertainty is generated by a general affine Markov process. The setting allows for stochastic volatility, jumps, the…
Peak/off-peak spreads on European electricity forward and spot markets are eroding due to the ongoing nuclear phaseout in Germany and the steady growth in photovoltaic capacity. The reduced profitability of peak/off-peak arbitrage forces…
Accurate forecasting in the e-commerce finance domain is particularly challenging due to irregular invoice schedules, payment deferrals, and user-specific behavioral variability. These factors, combined with sparse datasets and short…
Accurate short-term load forecasting is essential for the efficient operation of the power sector. Forecasting load at a fine granularity such as hourly loads of individual households is challenging due to higher volatility and inherent…
Accurate electrical load forecasting is of great importance for the efficient operation and control of modern power systems. In this work, a hybrid long short-term memory (LSTM)-based model with online correction is developed for day-ahead…
Liberalized electricity markets often include resource adequacy mechanisms that require consumers to contract with generation resources well in advance of real-time operations. While administratively defined mechanisms have most commonly…
Energy storage technologies are key to improving grid flexibility in the presence of increasing amounts of intermittent renewable generation. We propose an insurance contract that suitably compensates energy storage systems for providing…
In this paper we formulate an optimization approach to schedule electrical loads given a short term prediction of time-varying power production and the ability to store only a limited amount of electrical energy. The proposed approach is…
In the following paper, we analyse the ID$_3$-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We…
What is the best market-neutral implementation of classical Equity Factors? Should one use the specific predictability of the short-leg to build a zero beta Long-Short portfolio, in spite of the specific costs associated to shorting, or is…
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key…
Electrified heating systems with thermal storage, such as electric boilers and heat pumps, represent a major source of demand-side flexibility. Under current electricity market designs, balance responsible parties (BRPs) operating such…
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In particular, we assume a nontrivial dependence…
We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. While the literature is diverse on day-ahead prediction approaches, both the intraday continuous and intraday call-auction…
This study proposes a novel framework for long-term electricity demand prediction based solely on historical consumption data, without relying on external variables such as temperature or economic indicators. The method combines…
Electricity market modelling is often used by governments, industry and agencies to explore the development of scenarios over differing timeframes. For example, how would the reduction in cost of renewable energy impact investments in gas…
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the classical forward is a financial agreement…
Continuous-time optimization models have successfully been used to capture the impact of ramping limitations in power systems. In this paper, the continuous-time framework is adapted to model flexible hydropower resources interacting with…
In this paper we propose a regularization approach for network modeling of German power derivative market. To deal with the large portfolio, we combine high-dimensional variable selection techniques with dynamic network analysis. The…