Related papers: Locational Marginal Prices Obey DC Circuit Laws
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the…
We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of limit and market orders are functions of the market liquidity…
The trend in the electric power system is to move towards increased amounts of distributed resources which suggests a transition from the current highly centralized to a more distributed control structure. In this paper, we propose a method…
Forecasting electricity prices is a challenging task and an active area of research since the 1990s and the deregulation of the traditionally monopolistic and government-controlled power sectors. Although it aims at predicting both spot and…
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…
We study historical calibration of one- and two-factor models that are known to describe relatively well the dynamics of energy underlyings such as spot and index natural gas or oil prices at different physical locations or regional power…
Regulators and utilities have been exploring hourly retail electricity pricing, with several existing programs providing day-ahead hourly pricing schedules. At the same time, customers are deploying distributed energy resources and smart…
Electricity prices in liberalized markets are determined by the supply and demand for electric power, which are in turn driven by various external influences that vary strongly in time. In perfect competition, the merit order principle…
In this paper we investigate predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the…
The implementation of electricity markets based on locational marginal pricing in a multi-settlement process has allowed wholesale competition, with pricing mechanisms that incentivize the optimal allocation of generation, transmission, and…
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
Current state-of-the-art solution techniques for solving bilevel optimization problems either assume strong problem regularity criteria or are computationally intractable. In this paper we address power system problems of bilevel structure,…
The presence of integer variables in the European day-ahead electricity market renders the social welfare maximization problem non-convex and non-differentiable, making classical marginal pricing theoretically inconsistent. Existing pricing…
Classical time series models have serious difficulties in modeling and forecasting the enormous fluctuations of electricity spot prices. Markov regime switch models belong to the most often used models in the electricity literature. These…
As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…
Chance-constrained optimization has emerged as a promising framework for managing uncertainties in power systems. This work advances its application to the DC Optimal Power Flow (DC-OPF) model, developing a novel approach to uncertainty…
In the context of nonlinear prices, the empirical evidence suggests that the consumers have cognitive biases represented in a limited understanding of nonlinear price structures, and they respond to some alternative perceptions of the…
Demand response (DR) leverages demand-side flexibility, offering a promising approach to enhance market conditions like mitigating wholesale price spikes. However, poorly chosen DR locations can inadvertently increase electricity prices.…
As the adoption of distributed energy resources grows, power systems are becoming increasingly complex and vulnerable to disruptions, such as natural disasters and cyber-physical threats. Peer-to-peer (P2P) energy markets offer a practical…
This paper finds near equilibrium prices for electricity markets with nonconvexities due to binary variables, in order to reduce the market participants' opportunity costs, such as generators' unrecovered costs. The opportunity cost is…