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The forecasting of large ramps in wind power output known as ramp events is crucial for the incorporation of large volumes of wind energy into national electricity grids. Large variations in wind power supply must be compensated by…
Electricity market price predictions enable energy market participants to shape their consumption or supply while meeting their economic and environmental objectives. By utilizing the basic properties of the supply-demand matching process…
As the role of variable renewables in electricity markets expands, new market products help system operators manage imbalances caused by uncertainty and variability. Whereas work in the last decade has focused on constructing demand curves…
The planning and operation of renewable energy, especially wind power, depend crucially on accurate, timely, and high-resolution weather information. Coarse-grid global numerical weather forecasts are typically downscaled to meet these…
Short-term electricity markets are becoming more relevant due to less-predictable renewable energy sources, attracting considerable attention from the industry. The balancing market is the closest to real-time and the most volatile among…
There has recently been growing interest in the development of financial storage rights for energy storage systems as instruments akin to their transmission counterparts as a means to not only distribute congestion rents, but also to…
This paper considers a real-time electricity market involving an independent system operator (ISO) and a group of strategic generators. The ISO operates a market where generators bid prices at which there are willing to provide power. The…
As the share of variable renewable energy sources increases in the electricity mix, new solutions are needed to build a flexible and reliable grid. Energy arbitrage with battery storage systems supports renewable energy integration into the…
Incomplete financial markets are considered, defined by a multi-dimensional non-homogeneous diffusion process, being the direct sum of an It\^{o} process (the price process), and another non-homogeneous diffusion process (the exogenous…
We present modeling and analysis of day-ahead spatio-temporal energy markets in which each competitive aggregator aims at making the highest profit by managing a complex mixture of different energy resources, such as conventional…
Among the many challenges of integrating renewable energy sources into the existing power grid, is the challenge of integrating renewable energy generators into the power systems economy. Electricity markets currently are run in a way that…
In this paper we provide a unifying energy-based approach to the modeling, analysis and control of power systems and markets, which is based on the port-Hamiltonian framework. Using a primal-dual gradient method applied to the social…
In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy depends on a risk criterion chosen. We…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time…
Maximizing revenue for grid-scale battery energy storage systems in continuous intraday electricity markets requires strategies that are able to seize trading opportunities as soon as new information arrives. This paper introduces and…
This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some external stochastic factors. The portfolio performance is…
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The…
The increasing integration of renewable energy sources and distributed energy resources (DER) into modern power systems introduces significant uncertainty, posing challenges for maintaining grid flexibility and reliability. Hybrid energy…
We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…