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The increase in renewable energy on the consumer side gives place to new dynamics in the energy grids. Participants in a microgrid can produce energy and trade it with their peers (peer-to-peer) with the permission of the energy provider.…
Recently, there is growing interest and need for dynamic pricing algorithms, especially, in the field of online marketplaces by offering smart pricing options for big online stores. We present an approach to adjust prices based on the…
This paper proposes a market mechanism for multi-interval electricity markets with generator and storage participants. Drawing ideas from supply function bidding, we introduce a novel bid structure for storage participation that allows…
To enable an efficient electricity market, a good pricing scheme is of vital importance. Among many practical schemes, customized pricing is commonly believed to be able to best exploit the flexibility in the demand side. However, due to…
We study the problem of forecasting and optimally trading day-ahead versus real-time (DART) price spreads in U.S. wholesale electricity markets. Building on the framework of Galarneau-Vincent et al., we extend spike prediction from a single…
This paper will propose a novel machine learning based portfolio management method in the context of the cryptocurrency market. Previous researchers mainly focus on the prediction of the movement for specific cryptocurrency such as the…
We present a simulation-and-regression method for solving dynamic portfolio allocation problems in the presence of general transaction costs, liquidity costs and market impacts. This method extends the classical least squares Monte Carlo…
This paper presents a novel safe reinforcement learning algorithm for strategic bidding of Virtual Power Plants (VPPs) in day-ahead electricity markets. The proposed algorithm utilizes the Deep Deterministic Policy Gradient (DDPG) method to…
Thanks to the high potential for profit, trading has become increasingly attractive to investors as the cryptocurrency and stock markets rapidly expand. However, because financial markets are intricate and dynamic, accurately predicting…
Collusion and capacity withholding in electricity wholesale markets are important mechanisms of market manipulation. This study applies a refined machine learning-based cartel detection algorithm to two cartel cases in the Italian…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our valuations are based on the indifference pricing…
In incomplete financial markets, pricing and hedging European options lack a unique no-arbitrage solution due to unhedgeable risks. This paper introduces a constrained deep learning approach to determine option prices and hedging strategies…
AI and data driven solutions have been applied to different fields and achieved outperforming and promising results. In this research work we apply k-Nearest Neighbours, eXtreme Gradient Boosting and Random Forest classifiers for detecting…
Battery storage, particularly residential battery storage coupled with rooftop PV, is emerging as an essential component of the smart grid technology mix. However, including battery storage and other flexible resources like electric…
As data marketplaces become increasingly central to the digital economy, it is crucial to design efficient pricing mechanisms that optimize revenue while ensuring fair and adaptive pricing. We introduce the Maximum Auction-to-Posted Price…
Accurate electricity price forecasting is critical for strategic decision-making in deregulated electricity markets, where volatility stems from complex supply-demand dynamics and external factors. Traditional point forecasts often fail to…
Electricity markets typically clear in two stages: a day-ahead market and a real-time market. In this paper, we propose market mechanisms for a two-stage multi-interval electricity market with energy storage, generators, and demand…
In this paper, we investigate an energy cost minimization problem for prosumers participating in peer-to-peer energy trading. Due to (i) uncertainties caused by renewable energy generation and consumption, (ii) difficulties in developing an…
While deep learning gradually penetrates operational planning, its inherent prediction errors may significantly affect electricity prices. This letter examines how prediction errors propagate into electricity prices, revealing notable…
Machine Learning (ML) has been embraced as a powerful tool by the financial industry, with notable applications spreading in various domains including investment management. In this work, we propose a full-cycle data-driven investment…