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The increasing penetration of variable renewable energy and flexible demand technologies, such as electric vehicles and heat pumps, introduces significant uncertainty in power systems, resulting in greater imbalance; defined as the…

Statistical Finance · Quantitative Finance 2025-09-08 Timothée Hornek , Sergio Potenciano Menci , Ivan Pavić

In many markets, like electricity or cloud computing markets, providers incur large costs for keeping sufficient capacity in reserve to accommodate demand fluctuations of a mostly fixed user base. These costs are significantly affected by…

Computer Science and Game Theory · Computer Science 2020-04-07 Ludwig Dierks , Sven Seuken

At present, electricity markets largely ignore the fact that renewable power producers impose significant externalities on non-renewable energy producers. This is because consumers are generally guaranteed electricity within certain load…

Optimization and Control · Mathematics 2016-11-28 Ashkan Zeinalzadeh , Indraneel Chakraborty , Vijay Gupta

The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…

Systems and Control · Computer Science 2011-06-08 Mardavij Roozbehani , Munther A Dahleh , Sanjoy K Mitter

We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…

Computational Finance · Quantitative Finance 2020-10-20 René Aid , Andrea Cosso , Huyên Pham

We propose and analyze a day-ahead reserve market model that handles bids from flexible loads. This pool market model takes into account the fact that a load modulation in one direction must usually be compensated later by a modulation of…

Computer Science and Game Theory · Computer Science 2014-05-28 Sébastien Mathieu , Quentin Louveaux , Damien Ernst , Bertrand Cornélusse

The study of Day-Ahead prices in the electricity market is one of the most popular problems in time series forecasting. Previous research has focused on employing increasingly complex learning algorithms to capture the sophisticated…

Applications · Statistics 2024-04-29 Carlos Sebastián , Carlos E. González-Guillén , Jesús Juan

Wind power forecasting is essential for managing daily operations at wind farms and enabling market operators to manage power uncertainty effectively in demand planning. This paper explores advanced cross-temporal forecasting models and…

Methodology · Statistics 2024-12-17 Mahdi Abolghasemi , Daniele Girolimetto , Tommaso Di Fonzo

Feed-in fluctuations induced by renewables are one of the key challenges to the stability and quality of electrical power grids. In particular short-term fluctuations disturb the system on a time scale, on which load balancing does not…

Adaptation and Self-Organizing Systems · Physics 2016-11-28 Katrin Schmietendorf , Joachim Peinke , Oliver Kamps

The large variability of renewable power sources is a central challenge in the transition to a sustainable energy system. Electricity markets are central for the coordination of electric power generation. These markets rely evermore on…

Statistical Finance · Quantitative Finance 2021-12-07 Chengyuan Han , Hannes Hilger , Eva Mix , Philipp C. Böttcher , Mark Reyers , Christian Beck , Dirk Witthaut , Leonardo Rydin Gorjão

Forecasting imbalance prices is essential for strategic participation in the short-term energy markets. A novel two-step probabilistic approach is proposed, with a particular focus on the Belgian case. The first step consists of computing…

Statistical Finance · Quantitative Finance 2021-06-15 Jonathan Dumas , Ioannis Boukas , Miguel Manuel de Villena , Sébastien Mathieu , Bertrand Cornélusse

Continuous integration of renewable energy sources into power networks is causing a paradigm shift in energy generation and distribution with regards to trading and control; the intermittent nature of renewable sources affects pricing of…

Systems and Control · Electrical Eng. & Systems 2022-01-19 Pablo R. Baldivieso Monasterios , Nandor Verba , Euan A Morris , Thomas Morstyn , George. C , . Konstantopoulos , Elena Gaura , Stephen McArthur

The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive…

Trading and Market Microstructure · Quantitative Finance 2015-07-29 Sebastian M. Krause , Stefan Boerries , Stefan Bornholdt

The growing share of Renewable Energy Sources (RES) in modern power systems increases both grid imbalances and frequency deviations, reinforcing the need for ancillary services such as Frequency Containment Reserve (FCR) and passive…

Systems and Control · Electrical Eng. & Systems 2026-05-26 Celle Hendrickx , Fabio Pavirani , Chris Develder

Accurate power forecasting from renewable energy sources (RES) is crucial for integrating additional RES capacity into the power system and realizing sustainability goals. This work emphasizes the importance of integrating decentralized…

Machine Learning · Computer Science 2025-01-23 Carla Goncalves , Ricardo J. Bessa , Tiago Teixeira , Joao Vinagre

Researchers and electricity sector practitioners frequently require the supply curve of electricity markets and the price elasticity of supply for purposes such as price forecasting, policy analyses or market power assessment. It is common…

Taking concrete steps towards a carbon-free society, the Danish Parliament has recently made an agreement on the establishment of the world's first two offshore energy hubs, one on the island of Bornholm and one on an artificial island in…

Contracts for Difference (CfDs) are forwards on the spread between an area price and the system price. Together with the system price forwards, these products are used to hedge the area price risk in the Nordic electricity market. The CfDs…

Applications · Statistics 2014-06-27 Egil Ferkingstad , Anders Løland

Flexible energy resources can help balance the power grid by providing different types of ancillary services. However, the balancing potential of most types of resources is restricted by physical constraints such as the size of their energy…

Systems and Control · Computer Science 2018-06-22 Fabian L. Müller , Stefan Woerner , John Lygeros

Climate and energy policy targets of the European Commission aim to make Europe the first climate-neutral continent by 2050. For low-carbon and net-neutral energy systems primarily based on variable renewable power generation, issues…

General Economics · Economics 2025-06-06 Diana Böttger , Philipp Härtel
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