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We propose a novel machine learning approach for probabilistic forecasting of hourly day-ahead electricity prices. In contrast with the recent advances in data-rich probabilistic forecasting, which approximates distributions with few…
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…
Real-world three-phase microgrids face two interconnected challenges: 1. time-varying uncertainty from renewable generation and demand, and 2. persistent phase imbalances caused by uneven distributed energy resources DERs, load asymmetries,…
Load forecasts have become an integral part of energy security. Due to the various influencing factors that can be considered in such a forecast, there is also a wide range of models that attempt to integrate these parameters into a system…
A fractal approach to the long-short portfolio optimization is proposed. The algorithmic system based on the composition of market-neutral spreads into a single entity was considered. The core of the optimization scheme is a fractal walk…
The increasing penetration of variable renewable energy and flexible demand technologies, such as electric vehicles and heat pumps, introduces significant uncertainty in power systems, resulting in greater imbalance; defined as the…
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying…
Maintaining energy balance and economical operation is significant for multi-energy systems such as the energy hub. However, it is usually challenged by the frequently changing and unpredictable uncertainties at different timescales. Under…
Electricity market mechanisms designed to steer sustainable generation of electricity play an important role for the energy transition intended to mitigate climate change. One of the major problems is to complement volatile renewable energy…
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…
Short-term industrial enterprises power system forecasting is an important issue for both load control and machine protection. Scientists focus on load forecasting but ignore other valuable electric-meters which should provide guidance of…
The interplay between risk aversion and financial derivatives has received increasing attention since the advent of electricity market liberalization. One important challenge in this context is how to develop economically efficient and…
Large electricity customers (e.g., large data centers) can exhibit huge and variable electricity demands, which poses significant challenges for the electricity suppliers to plan for sufficient capacity. Thus, it is desirable to design…
The growing share of proactive actors in the electricity markets calls for more attention on prosumers and more support for their decision-making under decentralized electricity markets. In view of the changing paradigm, it is crucial to…
We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…
Longevity and safety of lithium-ion batteries are facilitated by efficient monitoring and adjustment of the battery operating conditions. Hence, it is crucial to implement fast and accurate algorithms for State of Health (SoH) monitoring on…
In this paper we address the challenge of designing optimal domestic renewable energy systems under multiple sources of uncertainty appearing at different time scales. Long-term uncertainties, such as investment and maintenance costs of…
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from the literature to…
We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond…
An increasing concern in power systems is how to elicit flexibilities in demand, which leads to nontraditional electricity products for accommodating loads of different flexibility levels. We have proposed Multiple-Arrival Multiple-Deadline…