Related papers: Stochastic Properties of EIP-1559 Basefees
Peer-to-peer(P2P) energy trading may increase efficiency and reduce costs, but introduces significant challenges for network operators such as maintaining grid reliability, accounting for network losses, and redistributing costs equitably.…
In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor expansion of the conditional price is…
This paper proposes a novel framework to price energy storage in economic dispatch with a social welfare maximization objective. This framework can be utilized by power system operators to generate default bids for storage or to benchmark…
This paper studies the market structure impact of cheaper and faster chains on the Uniswap v3 Protocol. The Uniswap Protocol is the largest decentralized application on Ethereum by both gas and blockspace used, and user behaviors of the…
This paper proposes an adaptive mechanism for price signal generation using a piecewise linear approximation of a flexibility function with unknown parameters. In this adaptive approach, the price signal is parameterized and the parameters…
We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop finite approximations for stochastic processes. While the…
We investigate thermodynamics of general nonequilibrium processes stopped at stochastic times. We propose a systematic strategy for constructing fluctuation-theorem-like martingales for each thermodynamic functional, yielding a family of…
We combine energy-stable and port-Hamiltonian (pH) systems to obtain energy-stable port-Hamiltonian (espH) systems. The idea is to extend the known energy-stable systems with an input-output port, which results in a pH formulation. One…
Reliable charging protocols are crucial for advancing quantum batteries toward practical use. We investigate a transverse-field Ising chain as a quantum battery, focusing on the combined role of qubit interactions in the battery model and…
Oil price data have a complicated multi-scale structure that may vary with time. We use time-frequency analysis to identify the main features of these variations and, in particular, the regime shifts. The analysis is based on a…
We propose an online pricing mechanism for electric vehicle (EV) charging. A charging station decides prices for each arriving EV depending on the energy and the time within which the EV will be served (i.e. deadline). The user selects…
Recent changes in the fuel mix for electricity generation and, in particular, the increase in Gas-Fueled Power Plants (GFPP), have created significant interdependencies between the electrical power and natural gas transmission systems.…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
This paper analyzes the Execution Tickets proposal on Ethereum Research, unveiling its potential to revolutionize the Ethereum blockchain's economic model. At the core of this proposal lies a novel ticketing mechanism poised to redefine how…
As transaction fees skyrocket today, blockchains become increasingly expensive, hurting their adoption in broader applications. This work tackles the saving of transaction fees for economic blockchain applications. The key insight is that…
A probabilistic framework is proposed for the optimization of efficient switched control strategies for physical systems dominated by stochastic excitation. In this framework, the equation for the state trajectory is replaced with an…
Managing and unlocking the flexibility hidden in electric vehicles (EVs) has emerged as a critical yet challenging task towards low-carbon power and energy systems. This paper focuses on the online bidding and dispatch strategies for an EV…
As a key enabler of Web3, Ethereum has long faced scalability challenges. The recent EIP-4844 upgrade aims to alleviate the scalability issue by introducing the ''blob'', a new data structure for Layer-2 rollups that enables off-chain…
This paper presents a new model for options pricing. The Black-Scholes-Merton (BSM) model plays an important role in financial options pricing. However, the BSM model assumes that the risk-free interest rate, volatility, and equity premium…
The interdependence of electricity and natural gas markets is becoming a major topic in energy research. Integrated energy models are used to assist decision-making for businesses and policymakers addressing challenges of energy transition…