Related papers: Estimating the Competitive Storage Model with Stoc…
Pricing storage operation in the real-time market under demand and generation stochasticities is considered. A scenario-based stochastic rolling-window dispatch model is formulated for the real-time market, consisting of conventional…
This paper introduces and rationalizes a new model for bidding and clearing energy storage resources in wholesale energy markets. Charge and discharge bids in this model depend on the storage state-of-charge (SoC). In this setting, storage…
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
Quantity and price risks are key uncertainties market participants face in electricity markets with increased volatility, for instance, due to high shares of renewables. From day ahead until real-time, there is a large variation in the best…
Energy storage are strategic participants in electricity markets to arbitrage price differences. Future power system operators must understand and predict strategic storage arbitrage behaviors for market power monitoring and capacity…
This paper develops a particle filter maximum likelihood estimator for the competitive storage model. The estimator is suitable for inference problems in commodity markets where only reliable price data is available for estimation, and…
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…
We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…
Dynamic pricing is both an opportunity and a challenge to the demand side. It is an opportunity as it better reflects the real time market conditions and hence enables an active demand side. However, demand's active participation does not…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
We present an online stochastic model predictive control framework for demand charge management for a grid-connected consumer with attached electrical energy storage. The consumer we consider must satisfy an inflexible but stochastic…
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process {\xi} with memory as e.g. a L\'evy semi-stationary process.…
State-space models (SSMs) are a highly expressive model class for learning patterns in time series data and for system identification. Deterministic versions of SSMs (e.g. LSTMs) proved extremely successful in modeling complex time series…
In the following paper we provide a review and development of sequential Monte Carlo (SMC) methods for option pricing. SMC are a class of Monte Carlo-based algorithms, that are designed to approximate expectations w.r.t a sequence of…
This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical…
Atmospheric models used for weather and climate prediction are traditionally formulated in a deterministic manner. In other words, given a particular state of the resolved scale variables, the most likely forcing from the sub-grid scale…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
State-space models have been used in many applications, including econometrics, engineering, medical research, etc. The maximum likelihood estimation (MLE) of the static parameter of general state-space models is not straightforward because…
Global oil price is an important factor in determining many economic variables in the world's economy. It is generally modeled as a stochastic process and have been studied through different techniques by comparing the historic time series…