Related papers: Risk aversion in flexible electricity markets
The integration of renewable energy resources (RES) in the power grid can reduce carbon intensity, but also presents certain challenges. The uncertainty and intermittent nature of RES emphasize the need for flexibility in power systems.…
Recently, the volatility associated with marginal prices has increased due to large scale integration of renewable generation. Price volatility is undesirable from a consumer perspective. To address this issue, we present a framework for…
Load shifting by commercial and industrial power consumers reduces costs and Scope 2 emissions for the consumer and the grid. Incentivizing this behavior requires tools for valuing flexibility amidst the heterogeneity in load…
Community electricity storage systems for multiple applications promise benefits over household electricity storage systems. More economical flexibility options such as demand response and sector coupling might reduce the market size for…
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. Demand and supply are balanced on a knife-edge because electric power cannot be economically stored, end user demand is…
We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal…
This review analysis presents a comprehensive exploration of energy flexibility in modern power systems. It examines the roles and mechanisms of flexible technologies across three main categories: generators, energy storage systems (ESS),…
As the penetration of distributed energy resources (DERs) increases, harnessing their flexibility becomes critical for power system operations. Virtual power plants (VPPs) offer a promising solution. However, most existing scheduling tools…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…
With more renewable energy sources (RES) integrated into the power system, the intermittency of RES places a heavy burden on the system. The uncertainty of RES is traditionally handled by controllable generators to balance the real time…
Despite the success of demand response programs in retail electricity markets in reducing average consumption, the random responsiveness of consumers to price event makes their efficiency questionable to achieve the flexibility needed for…
Long-duration energy storage (LDES) faces significant revenue volatility that impedes investment. This paper evaluates four contract-based support mechanisms using an equilibrium model with risk-averse investors and incomplete risk markets.…
Energy storage is needed to match renewable generation to industrial loads in energy parks. However, the future performance of bulk storage technologies is currently highly uncertain. Due to the urgency of decarbonization targets, 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 economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…
Time-varying electricity pricing better reflects the varying cost of electricity compared to flat-rate pricing. Variations between peak and off-peak costs are increasing due to weather variation, renewable intermittency, and increasing…
This paper proposes an agent-based model that combines both spot and balancing electricity markets. From this model, we develop a multi-agent simulation to study the integration of the consumers' flexibility into the system. Our study…
We show how to value both variable generation and energy storage to enable them to be integrated fairly and optimally into electricity capacity markets. We develop theory based on balancing expected energy unserved against costs of capacity…
Recent studies show that the fast growing expansion of wind power generation may lead to extremely high levels of price volatility in wholesale electricity markets. Storage technologies, regardless of their specific forms e.g. pump-storage…
Renewable Energy Sources play a key role in smart energy systems. To achieve 100% renewable energy, utilizing the flexibility potential on the demand side becomes the cost-efficient option to balance the grid. However, it is not trivial to…