Related papers: A multi-factor polynomial framework for long-term …
The increasing electrification of human activities and the rapid integration of variable renewable energy sources strain the power grid. A solution to address the need for more grid storage is to use the battery of electric vehicles as a…
Industrial electricity consumers with flexible demand can profit by adjusting their load to short-term prices and by providing balancing services to the grid. Markets which support this kind of short-term position adjustment are the…
This paper studies the long-term energy management of a microgrid coordinating hybrid hydrogen-battery energy storage. We develop an approximate semi-empirical hydrogen storage model to accurately capture the power-dependent efficiency of…
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…
We propose a function-on-function linear regression model for time-dependent curve data that is consistently estimated by imposing factor structures on the regressors. An integral operator based on cross-covariances identifies two…
In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein-Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. The other…
The increasing penetration level of energy generation from renewable sources is demanding for more accurate and reliable forecasting tools to support classic power grid operations (e.g., unit commitment, electricity market clearing or…
The importance of renewable power production is a set goal in terms of the energy turnaround. Developing short-term wind speed forecasting improvements might increase the profitability of wind power. This article compares two novel…
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe…
We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so…
Accurate mid-term (weeks to one year) hourly electricity load forecasts are essential for strategic decision-making in power plant operation, ensuring supply security and grid stability, planning and building energy storage systems, and…
Precise day-ahead forecasts for electricity prices are crucial to ensure efficient portfolio management, support strategic decision-making for power plant operations, enable efficient battery storage optimization, and facilitate demand…
Leveraging electrochemical and thermal energy storage systems has been proposed as a strategy to reduce peak power in data centers. Thermal energy storage systems, such as chilled water tanks, have gained increasing attention in data…
Accurate covariance forecasting is central to portfolio allocation, risk management, and asset pricing, yet many existing methods struggle at medium-term horizons, where shifting market regimes and slower dynamics predominate. We propose a…
The growing share of renewable energy makes the optimization of power flows in power system models computationally more complicated, due to the widely distributed weather-dependent electricity generation. This article evaluates two methods…
Accurate load forecasting is essential to the operation of modern electric power systems. Given the sensitivity of electricity demand to weather variability and temporal dynamics, capturing non-linear patterns is essential for long-term…
Propose a deep learning driven multi factor investment model optimization method for risk control. By constructing a deep learning model based on Long Short Term Memory (LSTM) and combining it with a multi factor investment model, we…
This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation…
This paper presents a long-term dispatch framework for coupled hydropower and floating photovoltaic systems. We introduce a temporal decomposition algorithm based on partial Lagrangian relaxation to address long-term water contract…
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…