Related papers: Risk-Averse Equilibrium Analysis and Computation
We consider a network of prosumers involved in peer-to-peer energy exchanges, with differentiation price preferences on the trades with their neighbors, and we analyze two market designs: (i) a centralized market, used as a benchmark, where…
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…
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…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
In future distribution grids, prosumers (i.e., energy consumers with storage and/or production capabilities) will trade energy with each other and with the main grid. To ensure an efficient and safe operation of energy trading, in this…
As the number of prosumers with distributed energy resources (DERs) grows, the conventional centralized operation scheme may suffer from conflicting interests, privacy concerns, and incentive inadequacy. In this paper, we propose an energy…
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We…
We consider the scenario where $N$ utilities strategically bid for electricity in the day-ahead market and balance the mismatch between the committed supply and actual demand in the real-time market, with uncertainty in demand and local…
Over the last few decades, electricity markets around the world have adopted multi-settlement structures, allowing for balancing of supply and demand as more accurate forecast information becomes available. Given increasing uncertainty due…
Uncertainty in the output power of large-scale wind power plants (WPPs) can face the electricity market players with undesirable profit variations. Market players can hedge themselves against these risks by participating in forward…
In this paper, we consider microgrids that interconnect prosumers with distributed energy resources and dynamic loads. Prosumers are connected through the microgrid to trade energy and gain profit while respecting the network constraints.…
One of the main challenges in the emerging smart grid is the integration of renewable energy resources (RER). The latter introduces both intermittency and uncertainty into the grid, both of which can affect the underlying energy market. An…
The energy market, and specifically the renewable sector carries volatility and risks, similar to the financial market. Here, we leverage on a well-established, return-risk approach, commonly used by equity portfolio-managers and apply it…
This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse and reflect their risk aversion through coherent risk…
Spot electricity markets are considered under a Game-Theoretic framework, where risk averse players submit orders to the market clearing mechanism to maximise their own utility. Consistent with the current practice in Europe, the market…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
We propose an enhancement to wholesale electricity markets whereby the exposure of consumers to increasingly large and volatile consumer payments arising as a byproduct of volatile real-time net loads -- i.e., loads minus renewable outputs…
This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each…
We consider users which may have renewable energy harvesting devices, or distributed generators. Such users can behave as consumer or producer (hence, we denote them as prosumers) at different time instances. A prosumer may sell the energy…