Related papers: OrderFusion: Encoding Orderbook for End-to-End Pro…
Assessing IC manufacturing process fluctuations and their impacts on IC interconnect performance has become unavoidable for modern DSM designs. However, the construction of parametric interconnect models is often hampered by the rapid…
Minimizing the peak power consumption and matching demand to supply, under fixed threshold polices, are two key requirements for the success of the future electricity market. In this work, we consider dynamic pricing methods to minimize the…
We consider the setting in which an electric power utility seeks to curtail its peak electricity demand by offering a fixed group of customers a uniform price for reductions in consumption relative to their predetermined baselines. The…
Dynamic pricing is commonly used to regulate congestion in shared service systems. This paper is motivated by the fact that in the presence of users with varying price sensitivity (responsiveness), conventional monotonic pricing can lead to…
The long-term forecasting of electricity demand has been a prevalent research topic, primarily because of its economic and strategic relevance. Several machine learning as well as deep learning techniques have been developed in parallel…
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improvements in the description of the price dynamics which can be…
Given their increasing participation in fast-changing markets, the integration of scheduling and control is an important consideration in chemical process operations. This generally involves computing optimal production schedules using…
This work proposes a conformal approach for energy storage arbitrage to control the downside risk arising from imperfect price forecasts. Energy storage arbitrage relies solely on predictions of future market prices, while inaccurate price…
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…
Aggregated curves are common structures in economics and finance, and the most prominent examples are supply and demand curves. In this study, we exploit the fact that all aggregated curves have an intrinsic hierarchical structure, and thus…
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order…
We present new Bayesian methodology for consumer sales forecasting. With a focus on multi-step ahead forecasting of daily sales of many supermarket items, we adapt dynamic count mixture models to forecast individual customer transactions,…
The effective allocation of cross-border trading capacities is one of the central challenges for the implementation of a pan-European internal energy market. In contrast to traditional power flow-ignorant methods like net transfer…
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
We examine the dynamics of the bid and ask queues of a limit order book and their relationship with the intensity of trade arrivals. In particular, we study the probability of price movements and trade arrivals as a function of the quote…
In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves data and errors in wind and solar power…
In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional prices movements. The order flow is the microsecond stream of orders arriving at the exchange, driving…
The coordinated operation of interconnected but locally controlled electricity markets is generally referred to as a "coupling". In this paper we propose a new mechanism design for efficient coupling of independent electricity markets. The…
We conduct modeling of the price dynamics following order flow imbalance in market microstructure and apply the model to the analysis of Chinese CSI 300 Index Futures. There are three findings. The first is that the order flow imbalance is…