Related papers: Electricity Spot Prices Forecasting Using Stochast…
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…
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the…
Trading on the day-ahead electricity markets requires accurate information about the realization of electricity prices and the uncertainty attached to the predictions. Deriving accurate forecasting models presents a difficult task due to…
In this paper, we price European Call three different option pricing models, where the volatility is dynamically changing i.e. non constant. In stochastic volatility (SV) models for option pricing a closed form approximation technique is…
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…
Purpose: Trading on electricity markets occurs such that the price settlement takes place before delivery, often day-ahead. In practice, these prices are highly volatile as they largely depend upon a range of variables such as electricity…
We examine whether model-based spot volatility estimators extracted from traded options data enhance the predictive power of the Heterogeneous Autoregressive (HAR) model for realized volatility. Specifically, we infer spot volatility under…
The European Power Exchange has introduced day-ahead auctions and continuous trading spot markets to facilitate the insertion of renewable electricity. These markets are designed to balance excess or lack of power in short time periods,…
The increasing interest in demand-side management (DSM) as part of the energy cost optimization calls for effective methods to determine representative electricity prices for energy optimization and scheduling investigations. We propose a…
Operational decisions relying on predictive distributions of electricity prices can result in significantly higher profits compared to those based solely on point forecasts. However, the majority of models developed in both academic and…
The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
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…
Precise day-ahead forecasts for electricity prices are crucial to ensure efficient portfolio management, support strategic decision-making for power plant operations, enable efficient battery storage optimization, and facilitate demand…
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…
In this work we considered several hybrid modelling approaches for forecasting energy spot prices in EPEC market. Hybridization is performed through combining a Naive model, Fourier analysis, ARMA and GARCH models, a mean-reversion and…
Electricity price forecasting is an essential task in all the deregulated markets of the world. The accurate prediction of the day-ahead electricity prices is an active research field and available data from various markets can be used as…
Due to the liberalization of markets, the change in the energy mix and the surrounding energy laws, electricity research is a dynamically altering field with steadily changing challenges. One challenge especially for investment decisions is…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
Accurate electricity price forecasting is critical for strategic decision-making in deregulated electricity markets, where volatility stems from complex supply-demand dynamics and external factors. Traditional point forecasts often fail to…