相关论文: Pollution permits, Strategic Trading and Dynamic T…
Reduced installation and operating costs give energy storage systems an opportunity to participate actively and profitably in electricity markets. In addition to providing ancillary services, energy storage systems can also arbitrage…
Recent regulation on intraday electricity markets has led to the development of shared order books with the intention to foster competition and increase market liquidity. In this paper, we address the question of the efficiency of such…
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time…
We consider the situation where multiple transportation service providers cooperate to offer an integrated multi-modal platform to enhance the convenience to the passengers through ease in multi-modal journey planning, payment, and first…
Sustainable Development Goals are intrinsically competing, but their embedding into urban systems furthermore emphasises such compromises, due to spatial complexity, the non-optimal nature of such systems, and multi-objective aspects of…
We study continuous-time portfolio choice with nonlinear payoffs under smooth ambiguity and Bayesian learning. We develop a general framework for dynamic, non-concave asset allocation that accommodates nonlinear payoffs, broad utility…
As the most critical production factor in the era of the digital economy, data will have a significant impact on social production and development. Energy enterprises possess data that is interconnected with multiple industries,…
We present a market-based approach to the Air Traffic Flow Management (ATFM) problem. The goods in our market are delays and buyers are airline companies; the latter pay money to the FAA to buy away the desired amount of delay on a per…
This paper presents an analysis of climate policy instruments for the decarbonisation of the global electricity sector in a non-equilibrium economic and technology diffusion perspective. Energy markets are driven by innovation,…
We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a…
The design of integrated mobility-on-demand services requires jointly considering the interactions between traveler choice behavior and operators' operation policies to design a financially sustainable pricing scheme. However, most existing…
This paper considers the problem of steering the aggregative behavior of a population of noncooperative price-taking agents towards a desired behavior. Different from conventional pricing schemes where the price is fully available for…
A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price…
This paper presented insights into the implementation of transactive multi-agent systems over flow networks where local resources are decentralized. Agents have local resource demand and supply, and are interconnected through a flow network…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
In this paper, we present an adaptive investment strategy for environments with periodic returns on investment. In our approach, we consider an investment model where the agent decides at every time step the proportion of wealth to invest…
We provide a theoretical framework to examine how carbon pricing policies influence inflation and to estimate the policy-driven impact on goods prices from achieving net-zero emissions. Firms control emissions by adjusting production,…
A purely state-dependent cost function can be modified by introducing a control-dependent term rewarding submaximal control utilization. A moderation incentive is identically zero on the boundary of the admissible control region and…
Power systems face increasing weather-driven variability and, therefore, increasingly rely on flexible but energy-limited storage resources. Energy storage can buffer this variability, but its value depends on intertemporal decisions under…
Finding a free parking space in a city has become a challenging task over the past decades. A recently proposed auction-based parking assignment can alleviate cruising for parking and also set a market-driven, demand-responsive parking…