Related papers: Large Fluctuations in Locational Marginal Prices
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…
During the last years, European intraday power markets have gained importance for balancing forecast errors due to the rising volumes of intermittent renewable generation. However, compared to day-ahead markets, the drivers for the intraday…
Renewable electricity generation has grown significantly across many European power systems, leading to a greener energy mix, but also additional complexity in balancing electricity supply and demand. Unexpected differences between…
As the adoption of distributed energy resources grows, power systems are becoming increasingly complex and vulnerable to disruptions, such as natural disasters and cyber-physical threats. Peer-to-peer (P2P) energy markets offer a practical…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…
This work presents the results of an empirical research with the target of modeling the stylized facts of the daily expost System Marginal Price (SMP) of the Greek wholesale electricity market, using data from January 2004 to December of…
Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on…
Fluctuations play a critical role in cosmology. They are relevant across a range of phenomena from the dynamics of inflation to the formation of structure. In many cases, these fluctuations are coarse grained and follow a Gaussian…
Forecasting electricity prices is a challenging task and an active area of research since the 1990s and the deregulation of the traditionally monopolistic and government-controlled power sectors. Although it aims at predicting both spot and…
We consider the problem of characterizing the locational marginal value of energy storage capacity in electric power networks with stochastic renewable supply and demand. The perspective taken is that of a system operator, whose objective…
Electricity price is a key factor affecting the decision-making for all market participants. Accurate forecasting of electricity prices is very important and is also very challenging since electricity price is highly volatile due to various…
This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their…
For the class of noisy time-delay linear consensus networks, we obtain explicit formulas for risk of large fluctuations of a scalar observable as a function of Laplacian spectrum and its eigenvectors. It is shown that there is an intrinsic…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
Electricity prices in liberalized markets are determined by the supply and demand for electric power, which are in turn driven by various external influences that vary strongly in time. In perfect competition, the merit order principle…
Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes $X+Z^\beta$ as the sum of a continuous It\^o semimartingale $X$ and a a mean-reverting compound Poisson process $Z_t^\beta = \int_0^t…
Traditional electric energy markets do not explicitly model generator contingencies. To improve the representation of resources and to enhance the modeling of uncertainty, existing markets are moving in the direction of including generator…
This article is concerned with statistics of addition spectra for systems of identical charged particles. A classical model is suggested in order to study fluctuations of Coulomb blockade peak spacings in large two-dimensional semiconductor…
The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. A major open issue is to verify the presence of LPPL in price sequences and to estimate the LPPL parameters. Estimation is complicated by the fact that…
We analyze quantum fluctuation effects at the onset of incommensurate $2k_F$ charge- or spin-density wave order in two-dimensional metals, for a model where the ordering wave vector $\boldsymbol{Q}$ connects a single pair of hot spots on…