相关论文: Futures pricing in electricity markets based on st…

In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit…

In the following paper, we analyse the ID$_3$-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We…

Global oil price is an important factor in determining many economic variables in the world's economy. It is generally modeled as a stochastic process and have been studied through different techniques by comparing the historic time series…

Electricity price signals in modern power systems exhibit complex dependence structures that render forecasting inherently challenging. Our analysis of real-world pricing signals from the California Independent System Operator (CAISO)…

In this paper a unifying energy-based approach is provided to the modeling and stability analysis of power systems coupled with market dynamics. We consider a standard model of the power network with a third-order model for the synchronous…

We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the underlying forward price curves are modeled within the…

We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the…

The increasing penetration of renewable energy sources introduces significant challenges to power grid stability, primarily due to their inherent variability. A new opportunity for grid operation is the smart integration of electricity…

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…

In this paper we propose a quadratic programming model that can be used for calculating the term structure of electricity prices while explicitly modeling startup costs of power plants. In contrast to other approaches presented in the…

There are numerous industrial settings in which a decision maker must decide whether to enter into long-term contracts to guarantee price (and hence cash flow) stability or to participate in more volatile spot markets. In this paper, we…

As energy markets begin clearing at sub-hourly rates, their interaction with load control systems becomes a potentially important consideration. A simple model for the control of thermal systems using market-based power distribution…

The fluctuations of electricity prices in demand response schemes and intermittency of renewable energy supplies necessitate the adoption of energy storage in microgrids. However, it is challenging to design effective real-time energy…

The energy system is rapidly changing to accommodate the increasing number of renewable generators and the general transition towards a more sustainable future. Simultaneously, business models and market designs evolve, affecting power-grid…

This paper employs machine learning algorithms to forecast German electricity spot market prices. The forecasts utilize in particular bid and ask order book data from the spot market but also fundamental market data like renewable infeed…

This paper presents an analytical method for calculating the operational value of an energy storage device under multi-stage price uncertainties. Our solution calculates the storage value function from price distribution functions directly…

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…

This paper exploits the Duration-of-Use of the demand patterns as a key concept for dealing with demand side flexibility. Starting from the consideration that fine-grained energy metering is not used at the point of supply of the…

Accurately forecasting the price of oil, the world's most actively traded commodity, is of great importance to both academics and practitioners. We contribute by proposing a functional time series based method to model and forecast oil…

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…