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In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
In wholesale electricity markets, prices fluctuate widely from hour to hour and electricity generators price-hedge their output using longer-term contracts, such as monthly base futures. Consequently, the incentives they face to drive up…
This paper introduces and rationalizes a new model for bidding and clearing energy storage resources in wholesale energy markets. Charge and discharge bids in this model depend on the storage state-of-charge (SoC). In this setting, storage…
Utilities use demand response to shift or reduce electricity usage of flexible loads, to better match electricity demand to power generation. A common mechanism is peak pricing (PP), where consumers pay reduced (increased) prices for…
This paper proposes a novel continuous Local Flexibility Market where active power flexibility located in the distribution system can be traded. The market design engages the Market Operator, the Distribution System Operator and Market…
The accurate prediction of short-term electricity prices is vital for effective trading strategies, power plant scheduling, profit maximisation and efficient system operation. However, uncertainties in supply and demand make such…
Ambitious renewable portfolio standards motivate the incorporation of energy storage resources (ESR) as sources of flexibility. While the United States government aims to promote ESR participation in electricity markets, work on market…
While ex-ante screening and static price caps are global standards for mitigating price volatility, Singapore's electricity market employs a unique dual-defense mechanism integrating vesting contracts (VC) with a temporary price cap (TPC).…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
In this article we propose a multi-zonal integrated energy-reserve market model. We assume that bidders may submit their demand and supply bids on the one hand in the form of conventional hourly step bids and block bids, which are cleared…
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from the literature to…
We consider "time-of-use" pricing as a technique for matching supply and demand of temporal resources with the goal of maximizing social welfare. Relevant examples include energy, computing resources on a cloud computing platform, and…
We propose and analyze a day-ahead reserve market model that handles bids from flexible loads. This pool market model takes into account the fact that a load modulation in one direction must usually be compensated later by a modulation of…
We show that when firms compete via supply functions, transferring high-cost capacity to the largest, most efficient firm--thereby diversifying its production technologies while increasing concentration--can lower prices by prompting the…
The availability of public computing resources in the cloud has revolutionized data analysis, but requesting cloud resources often involves complex decisions for consumers. Under the current pricing mechanisms, cloud service providers offer…
With the increasing penetration of intermittent renewable energy sources (RESs), it becomes increasingly challenging to maintain the supply-demand balance of power systems by solely relying on the generation side. To combat the volatility…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
Flexible load at the demand-side has been regarded as an effective measure to cope with volatile distributed renewable generations. To unlock the demand-side flexibility, this paper proposes a peer-to-peer energy sharing mechanism that…
The interplay between risk aversion and financial derivatives has received increasing attention since the advent of electricity market liberalization. One important challenge in this context is how to develop economically efficient and…
This paper develops a multi-objective optimization framework to analyze the trade-offs between annual costs and resilience in energy communities. Under this framework, three energy community operation strategies are analyzed: a reference…