Related papers: Equilibrium price in intraday electricity markets

The exponential growth of renewable energy capacity has brought much uncertainty to electricity prices and to electricity generation. To address this challenge, the energy exchanges have been developing further trading possibilities,…

Network effects are the added value derived solely from the popularity of a product in an economic market. Using agent-based models inspired by statistical physics, we propose a minimal theory of a competitive market for (nearly)…

We study the power and limitations of posted prices in multi-unit markets, where agents arrive sequentially in an arbitrary order. We prove upper and lower bounds on the largest fraction of the optimal social welfare that can be guaranteed…

We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating…

Accurate prediction of electricity prices plays an essential role in the electricity market. To reflect the uncertainty of electricity prices, price intervals are predicted. This paper proposes a novel prediction interval construction…

We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…

Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…

This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electricity market, the model effectively captures key empirical…

Intraday electricity markets play an increasingly important role in balancing the intermittent generation of renewable energy resources, which creates a need for accurate probabilistic price forecasts. However, research to date has focused…

In this paper, we extend and improve the production chain model introduced by Kikuchi et al. (2018). Utilizing the theory of monotone concave operators, we prove the existence, uniqueness, and global stability of equilibrium price, hence…

Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…

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…

The coordinated operation of interconnected but locally controlled electricity markets is generally referred to as a "coupling". In this paper we propose a new mechanism design for efficient coupling of independent electricity markets. The…

The computation of equilibrium prices at which the supply of goods matches their demand typically relies on complete information on agents' private attributes, e.g., suppliers' cost functions, which are often unavailable in practice.…

We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider first chooses the size of her market-order and then the…

This paper focuses on the problem of energy imbalance management in amicrogrid. The problem is investigated from the power market perspective. Unlike the traditional power grid, a microgrid can obtain extra energy froma renewable energy…

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an…

We study the competition for partners in two-sided matching markets with heterogeneous agent preferences, with a focus on how the equilibrium outcomes depend on the connectivity in the market. We model random partially connected markets,…

We study a heterogeneous agent macroeconomic model with an infinite number of households and firms competing in a labor market. Each household earns income and engages in consumption at each time step while aiming to maximize a concave…

Recently, chance-constrained stochastic electricity market designs have been proposed to address the shortcomings of scenario-based stochastic market designs. In particular, the use of chance-constrained market-clearing avoids trading off…