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The quality of electricity system modelling heavily depends on the input data used. Although a lot of data is publicly available, it is often dispersed, tedious to process and partly contains errors. We argue that a central provision of…

Continuous intraday electricity markets play an increasingly important role in short-term trading and balancing, yet decision-making under rapidly evolving price dynamics remains challenging. This paper proposes a comprehensive framework…

We give an explicit representation for the transition law of a tempered stable Ornstein-Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of increments from this process. Our results apply to…

Accurate forecasts of electricity prices are crucial for the management of electric power systems and the development of smart applications. European electricity prices have risen substantially and became highly volatile after the Russian…

Spatio-temporal modelling is an increasingly popular topic in Statistics. Our paper contributes to this line of research by developing the theory, simulation and inference for a spatio-temporal Ornstein-Uhlenbeck process. We conduct…

In this paper we formulate of the Economic Dispatch (ED) problem in Power Systems in continuous time and include in it ramping constraints to derive an expression of the price that reflects some important inter-temporal constraints of the…

Short-term electricity markets are becoming more relevant due to less-predictable renewable energy sources, attracting considerable attention from the industry. The balancing market is the closest to real-time and the most volatile among…

Active Matter models commonly consider particles with overdamped dynamics subject to a force (speed) with constant modulus and random direction. Some models include also random noise in particle displacement (Wiener process) resulting in a…

Regulators and utilities have been exploring hourly retail electricity pricing, with several existing programs providing day-ahead hourly pricing schedules. At the same time, customers are deploying distributed energy resources and smart…

We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time tau. This is accomplished by assuming that the underlying noise in the system is…

Electricity price is a key factor affecting the decision-making for all market participants. Accurate forecasting of electricity prices is very important and is also very challenging since electricity price is highly volatile due to various…

This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by L\'{e}vy subordinators. We construct their sample path decomposition, show that they possess mean-reverting jumps, study their equivalent…

This paper analyzes stability conditions for wholesale electricity markets under real-time retail pricing and realistic consumption models with memory, which explicitly take into account previous electricity prices and consumption levels.…

Accurate prediction of electricity prices is crucial for stakeholders in the energy market, particularly for grid operators, energy producers, and consumers. This study focuses on developing a predictive model leveraging Long Short-Term…

This paper presents empirically-estimated average hourly relationships between regional electricity trade in the United States and prices, emissions, and generation from 2015 through 2018. Consistent with economic theory, the analysis finds…

Classical time series models have serious difficulties in modeling and forecasting the enormous fluctuations of electricity spot prices. Markov regime switch models belong to the most often used models in the electricity literature. These…

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…

In this study we define a three-step procedure to relate the self-decomposability of the stationary law of a generalized Ornstein-Uhlenbeck process to the law of the increments of such processes. Based on this procedure and the results of…

Electricity supply is not simply a matter of quantity, but a time lasting service that matches with a wave-like load curve. It logically deserves a pricing based on the curve per se rather than simply integral of load. This paper introduces…

Electricity load forecasting is a necessary capability for power system operators and electricity market participants. The proliferation of local generation, demand response, and electrification of heat and transport are changing the…