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We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…
The design of energy markets is a subject of ongoing debate, particularly concerning the choice between the widely adopted Pay-as-Clear (PC) pricing mechanism and the alternative Pay-as-Bid (PB). These mechanisms determine how energy…
Increased penetration of wind energy will make electricity market prices more volatile. As a result, market participants will bear increased financial risks, which impact investment decisions and in turn, makes it harder to achieve…
In order to deal with market power that sporadically results from contingencies (e.g., severe weather, plant outages) most electricity markets have institutions in charge of monitoring market performance and mitigating market power. The…
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key…
Electricity price forecasting has become a critical tool for decision-making in energy markets, particularly as the increasing penetration of renewable energy introduces greater volatility and uncertainty. Historically, research in this…
Optimization models have been broadly used within side the energy industry as useful decision-making systems for scheduling and dispatching electric powered energy resources; this is applied in a system called unit commitment (UC). Unit…
Maintaining the stability of renewable-dominant power systems requires the procurement of virtual inertia services from non-synchronous resources (e.g., batteries, wind turbines) in addition to inertia traditionally provided by synchronous…
This paper presents a framework for deriving the storage capacity that an electricity system requires in order to satisfy a chosen risk appetite. The framework takes as inputs user-defined event categories, parameterised by peak…
The roll-out of stochastic renewable energy sources (RES) undermines the efficiency of power system and market operations. This paper proposes an approach to derive electricity prices that internalize RES stochasticity. We leverage a…
Hybrid Energy Systems (HES), integrating generation sources, energy storage, and controllable loads, are well-positioned to provide real-time grid flexibility. However, quantifying this maximum flexibility is challenging due to renewable…
The integration of renewable energy resources (RES) in the power grid can reduce carbon intensity, but also presents certain challenges. The uncertainty and intermittent nature of RES emphasize the need for flexibility in power systems.…
In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded…
In this paper, a novel approach to define the optimal bidding of renewable-only virtual power plants (RVPPs) in the day-ahead, secondary reserve, and intra-day markets is proposed. To this aim, a robust optimization algorithm is developed…
According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…
We present new formulations of the stochastic electricity market clearing problem based on the principles of stochastic programming. Previous analyses have established that the canonical stochastic programming model effectively captures the…
Flexible ramping products (FRPs) emerge as a promising instrument for addressing steep and uncertain ramping needs through market mechanisms. Initial implementations of FRPs in North American electricity markets, however, revealed several…
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 finds near equilibrium prices for electricity markets with nonconvexities due to binary variables, in order to reduce the market participants' opportunity costs, such as generators' unrecovered costs. The opportunity cost is…
We propose a new model for electricity pricing based on the price cap principle. The particularity of the model is that the asset price is an exponential functional of a jump L\'evy process. This model can capture both mean reversion and…