Related papers: Large Fluctuations in Locational Marginal Prices
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…
The large variability of renewable power sources is a central challenge in the transition to a sustainable energy system. Electricity markets are central for the coordination of electric power generation. These markets rely evermore on…
In this paper, statistical machine learning algorithms, as well as deep neural networks, are used to predict the values of the price gap between day-ahead and real-time electricity markets. Several exogenous features are collected and…
The short-term forecasting of real-time locational marginal price (LMP) and network congestion is considered from a system operator perspective. A new probabilistic forecasting technique is proposed based on a multiparametric programming…
Accurate forecasts of electricity prices are crucial for the management of electric power systems and the development of smart applications. European electricity prices have risen substantially and became highly volatile after the Russian…
This paper introduces the class of volatility modulated L\'{e}vy-driven Volterra (VMLV) processes and their important subclass of L\'{e}vy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main…
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…
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the…
Distribution markets are among the prospect being considered for the future of power systems. They would facilitate integration of distributed energy resources (DERs) and microgrids via a market mechanism and enable them to monetize…
We establish the Level-1 and Level-3 Large Deviation Principles (LDPs) for invariant measures on shift spaces over finite alphabets under very general decoupling conditions for which the thermodynamic formalism does not apply. Such…
The problem of heat system pricing is considered. A direct extension of locational marginal prices (LMP) in electricity markets to heat systems may lead to revenue inadequate issues. The underlying reason for such a problem is that, unlike…
Forecasters using flexible neural networks (NN) in multi-horizon distributional regression setups often struggle to gain detailed insights into the underlying mechanisms that lead to the predicted feature-conditioned distribution…
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary…
We conduct the first rigorous study of electricity price volatility for the full panel of electricity prices across three European generation zones. By interpreting the observed day-ahead prices as local averages of a latent price process…
The marginal price of electricity traditionally depends on the dual variables associated with relevant optimization goals. Particularly, in the optimal power flow realm, prices represent the cost of supplying an additional unit of power at…
It is becoming more and more clear that complex networks present remarkable large fluctuations. These fluctuations may manifest differently according to the given model. In this paper we re-consider hidden variable models which turn out to…
Nothing has done more to empower the free market, enterprise, and meritocracy than the spread of electricity and power to everyone. The power system has been the precursor to the greatest period of innovation in our history and has meant…
We propose a class of stochastic models for a dynamics of limit order book with different type of liquidities. Within this class of models we study the one where a spread decreases uniformly, belonging to the class of processes known as a…
The increasing attention to environmental issues is forcing the implementation of novel energy models based on renewable sources, fundamentally changing the configuration of energy management and introducing new criticalities that are only…
In the present work we derive a Central Limit Theorem for sequences of Hilbert-valued Piecewise Deterministic Markov process models and their global fluctuations around their deterministic limit identified by the Law of Large Numbers. We…