Related papers: Maximizing Battery Storage Profits via High-Freque…
This paper studies the problem of stochastic dynamic pricing and energy management policy for electric vehicle (EV) charging service providers. In the presence of renewable energy integration and energy storage system, EV charging service…
We characterize profit-maximizing operating strategies, over some time horizon [0,T], for an energy store which is trading in an arbitrage market. Our theory allows for leakage, operating inefficiencies, operating constraints and general…
We develop a mathematical model for intraday dispatch of co-located wind-battery energy assets. Focusing on the primary objective of firming grid-side actual production vis-a-vis the preset day-ahead hourly generation targets, we conduct a…
Intra-day price spreads are of interest to electricity traders, storage and electric vehicle operators. This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast the German…
The proliferation of ride sharing systems is a major drive in the advancement of autonomous and electric vehicle technologies. This paper considers the joint routing, battery charging, and pricing problem faced by a profit-maximizing…
We study operations of a battery energy storage system under a baseline-based demand response (DR) program with an uncertain schedule of DR events. Baseline-based DR programs may provide undesired incentives to inflate baseline consumption…
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the continuously traded power and aims to maximize the expected…
This paper proposes a dynamic valuation framework to determine the opportunity value of battery capacity degradation in grid applications based on the internal degradation mechanism and utilization scenarios. The proposed framework follows…
Battery participants in performance-based frequency regulation markets must consider the cost of battery aging in their operating strategies to maximize market profits. In this paper we solve this problem by proposing an optimal control…
Cell inconsistency within a lithium-ion battery system poses a significant challenge in maximizing the system operational time. This study presents an optimization-driven active balancing method to minimize the effects of cell inconsistency…
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson…
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…
This paper explores the effectiveness of high-frequency options trading strategies enhanced by advanced portfolio optimization techniques, investigating their ability to consistently generate positive returns compared to traditional long or…
Probabilistic intraday electricity price forecasting is becoming increasingly important for short-term power-system operation. With increasing renewable generation, demand-side flexibility, and storage assets, market participants need to…
The paper proposes an optimal management strategy for a system composed by a battery and a photovoltaic power plant. This integrated system is called to deliver the photovoltaic power and to simultaneously provide droop-based primary…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our approach is applicable to various specifications of…
We consider the residential energy storage management system with integrated renewable generation, with the availability of bidirectional energy flow from and to the grid thorough buying and selling. We propose a real-time bidirectional…
High-frequency trading requires fast data processing without information lags for precise stock price forecasting. This high-paced stock price forecasting is usually based on vectors that need to be treated as sequential and…
Smart energy networks provide for an effective means to accommodate high penetrations of variable renewable energy sources like solar and wind, which are key for deep decarbonisation of energy production. However, given the variability of…
This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge…