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In recent years, there has been a significant focus on advancing the next generation of power systems. Despite these efforts, persistent challenges revolve around addressing the operational impact of uncertainty on predicted data,…
Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes $X+Z^\beta$ as the sum of a continuous It\^o semimartingale $X$ and a a mean-reverting compound Poisson process $Z_t^\beta = \int_0^t…
Since the 1990s, widespread introduction of central (wholesale) electricity markets has been seen across multiple continents, driven by the search for efficient operation of the power grid through competition. The increase of renewables has…
Price prediction algorithms propose prices for every product or service according to market trends, projected demand, and other characteristics, including government rules, international transactions, and speculation and expectation. As the…
We conduct an extensive empirical study on short-term electricity price forecasting (EPF) to address the long-standing question if the optimal model structure for EPF is univariate or multivariate. We provide evidence that despite a minor…
Electricity price forecasting (EPF) plays a major role for electricity companies as a fundamental entry for trading decisions or energy management operations. As electricity can not be stored, electricity prices are highly volatile which…
The increasing integration of intermittent renewable generation, especially at the distribution level,necessitates advanced planning and optimisation methodologies contingent on the knowledge of thegrid, specifically the admittance matrix…
We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the…
This paper combines a techno-economic energy system model with an econometric model to maximise electricity price forecasting accuracy. The proposed combination model is tested on the German day-ahead wholesale electricity market. Our paper…
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…
Accurate prediction of electricity day-ahead prices is essential in competitive electricity markets. Although stationary electricity-price forecasting techniques have received considerable attention, research on non-stationary methods is…
We consider arbitrage free valuation of European options in Black-Scholes and Merton markets, where the general structure of the market is known, however the specific parameters are not known. In order to reflect this subjective uncertainty…
Large-scale streaming data are common in modern machine learning applications and have led to the development of online learning algorithms. Many fields, such as supply chain management, weather and meteorology, energy markets, and finance,…
Convergence (virtual) bidding is an important part of two-settlement electric power markets as it can effectively reduce discrepancies between the day-ahead and real-time markets. Consequently, there is extensive research into the bidding…
Optimal prediction (OP) methods compensate for a lack of resolution in the numerical solution of complex problems through the use of an invariant measure as a prior measure in the Bayesian sense. In first-order OP, unresolved information is…
Short-term electricity price forecasting has become important for demand side management and power generation scheduling. Especially as the electricity market becomes more competitive, a more accurate price prediction than the day-ahead…
Bayesian optimization (BO) methods are useful for optimizing functions that are expensive to evaluate, lack an analytical expression and whose evaluations can be contaminated by noise. These methods rely on a probabilistic model of the…
Electricity price forecasting in Europe presents unique challenges due to increasing renewable generation variability, market integration, and the continent's physically interconnected power system. While recent advances in foundation…
Electricity price forecasting (EPF) is essential for energy markets stakeholders (e.g. grid operators, energy traders, policymakers) but remains challenging due to the inherent volatility and nonlinearity of price signals. Traditional…
We discuss a concept denoted as Conformal Prediction (CP) in this paper. While initially stemming from the world of machine learning, it was never applied or analyzed in the context of short-term electricity price forecasting. Therefore, we…