Related papers: Probabilistic intraday electricity price forecasti…
The increasing penetration level of energy generation from renewable sources is demanding for more accurate and reliable forecasting tools to support classic power grid operations (e.g., unit commitment, electricity market clearing or…
The participation of consumers and producers in demand response programs has increased in smart grids, which reduces investment and operation costs of power systems. Also, with the advent of renewable energy sources, the electricity market…
Prosumer operators are dealing with extensive challenges to participate in short-term electricity markets while taking uncertainties into account. Challenges such as variation in demand, solar energy, wind power, and electricity prices as…
With the increasing integration of power plants into the frequency-regulation markets, the importance of optimal trading has grown substantially. This paper conducts an in-depth analysis of their optimal trading behavior in sequential…
Accurate and efficient imbalance electricity price forecasting is critical for industrial energy trading systems, especially as battery assets and automated bidding pipelines increasingly participate in balancing markets. However, real-time…
Electricity price forecasting (EPF) plays a critical role in power system operation and market decision making. While existing review studies have provided valuable insights into forecasting horizons, market mechanisms, and evaluation…
How does dynamic price information flow among Northern European electricity spot prices and prices of major electricity generation fuel sources? We use time series models combined with new advances in causal inference to answer these…
Electricity is bought and sold in wholesale markets at prices that fluctuate significantly. Short-term forecasting of electricity prices is an important endeavor because it helps electric utilities control risk and because it influences…
Modeling price risks is crucial for economic decision making in energy markets. Besides the risk of a single price, the dependence structure of multiple prices is often relevant. We therefore propose a generic and easy-to-implement method…
Renewable energy sources provide a constantly increasing contribution to the total energy production worldwide. However, the power generation from these sources is highly variable due to their dependence on meteorological conditions.…
There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…
The availability of accurate day-ahead electricity price forecasts is pivotal for electricity market participants. In the context of trade liberalisation and market harmonisation in the European markets, accurate price forecasting becomes…
Probabilistic electricity price forecasting (PEPF) is subject of increasing interest, following the demand for proper quantification of prediction uncertainty, to support the operation in complex power markets with increasing share of…
Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent different empirical facts such as increasing market activity,…
Accurate price predictions are essential for market participants in order to optimize their operational schedules and bidding strategies, especially in the current context where electricity prices become more volatile and less predictable…
This paper introduces a generative AI approach to probabilistic forecasting of real-time electricity market signals, including locational marginal prices, interregional price spreads, and demand-supply imbalances. We present WIAE-GPF, a…
Continuous integration of renewable energy sources into power networks is causing a paradigm shift in energy generation and distribution with regards to trading and control; the intermittent nature of renewable sources affects pricing of…
Virtual bidding plays an important role in two-settlement electric power markets, as it can reduce discrepancies between day-ahead and real-time markets. Renewable energy penetration increases volatility in electricity prices, making…
Estimating generation costs from observed electricity market data is essential for market simulation, strategic bidding, and system planning. To that end, we model the relationship between generation costs and production schedules with a…