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Investments into renewable energy are increasing rapidly around the world. Energy system models are able to provide insights into optimal investment capacities and thus are widely used to aid the long-term investment decision-making under…
Integrating renewable energy production into the electricity grid is an important policy goal to address climate change. However, such an integration faces economic and technological challenges. As power generation by renewable sources…
There are many indicators of energy security. Few measure what really matters -- affordable and reliable energy supply -- and the trade-offs between the two. Reliability is physical, affordability is economic. Russia's latest invasion of…
Contemporary electricity distribution systems are being challenged by the variability of renewable energy sources. Slow response times and long energy management periods cannot efficiently integrate intermittent renewable generation and…
Future energy systems are subject to various uncertain influences. As resilient systems they should maintain a constantly high operational performance whatever happens. We explore different levels and time scales of decision making in…
In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions…
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying…
The accelerated development in Grid and peer-to-peer computing has positioned them as promising next generation computing platforms. They enable the creation of Virtual Enterprises (VE) for sharing resources distributed across the world.…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
Electricity price forecasting has become a critical tool for decision-making in energy markets, particularly as the increasing penetration of renewable energy introduces greater volatility and uncertainty. Historically, research in this…
This paper presents a dynamic pricing and energy management framework for electric vehicle (EV) charging service providers. To set the charging prices, the service providers faces three uncertainties: the volatility of wholesale electricity…
We study linear policy approximations for the risk-conscious operation of an industrial energy system with uncertain wind power, significant and variable electricity demand, and high thermal output, as found in a modern foundry. The system…
This paper addresses the energy management of a grid-connected renewable generation plant coupled with a battery energy storage device in the capacity firming market, designed to promote renewable power generation facilities in small…
Renewable energy brings huge uncertainties to the power system, which challenges the traditional power system operation with limited flexible resources. One promising solution is to introduce dynamic pricing to more consumers, which, if…
Renewable energy systems are an increasingly popular way to generate electricity around the world. As wind and solar technologies gradually begin to supplant the use of fossil fuels as preferred means of energy production, new challenges…
Equity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient…
The new technologies emerging in the energy sector pose new requirements for both the regulation and operation of the electricity grid. Revised tariff structures and the introduction of local markets are two approaches that could tackle the…
Electricity markets are experiencing a rapid increase in energy storage unit participation. Unlike conventional generation resources, quantifying the competitive operation and identifying if a storage unit is exercising market power is…
This paper proposes a risk-averse approach to energy storage price arbitrage, leveraging conformal uncertainty quantification for electricity price predictions. The method addresses the significant challenges posed by the inherent…
Demand response provides utilities with a mechanism to share with end users the stochasticity resulting from the use of renewable sources. Pricing is accordingly used to reflect energy availability, to allocate such a limited resource to…