相关论文: Forecasting the Intra-Day Spread Densities of Elec…

We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…

The density-functional theory (DFT) and density-functional perturbation theory (DFPT) are employed to study the pressure dependence of elastic and dynamical properties of zinc-blende ZnS and ZnSe. The calculated elastic constants and phonon…

In the modern power market, electricity trading is an extremely competitive industry. More accurate price forecast is crucial to help electricity producers and traders make better decisions. In this paper, a novel method of convolutional…

This working paper presents a comprehensive study on the development and analysis of various electricity market models, focusing on continuous, discrete, and fractional-order approaches. The continuous model captures the ongoing…

Density functional theory (DFT) is the de facto approach for predicting self-consistent-field electronic structures of ground-state configurations of complex atoms, molecules, and solids and providing their property data for materials…

Electron dynamics in external electric fields governs the behavior of solid-state electronic devices. First-principles calculations enable precise predictions of charge transport in low electric fields. However, studies of high-field…

We study the problem of finding probability densities that match given European call option prices. To allow prior information about such a density to be taken into account, we generalise the algorithm presented in Neri and Schneider (2011)…

Demand estimation plays an important role in dynamic pricing where the optimal price can be obtained via maximizing the revenue based on the demand curve. In online hotel booking platform, the demand or occupancy of rooms varies across…

Residential customers have traditionally not been treated as individual entities due to the high volatility in residential consumption patterns as well as a historic focus on aggregated loads from the utility and system feeder perspective.…

In electricity markets, retailers or brokers want to maximize profits by allocating tariff profiles to end consumers. One of the objectives of such demand response management is to incentivize the consumers to adjust their consumption so…

This paper is devoted to the price-storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path-dependence in both price volatility and storage increments. Model calibrations are…

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…

The growing complexity of the power grid, driven by increasing share of distributed energy resources and by massive deployment of intelligent internet-connected devices, requires new modelling tools for planning and operation. Physics-based…

The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…

The ever increasing penetration of plug-in hybrid electric vehicles in distribution systems has triggered the need for a more accurate and at the same time fast solution to probabilistic distribution power flow problem. In this paper a…

The Hybrid Energy Forecasting and Trading Competition challenged participants to forecast and trade the electricity generation from a 3.6GW portfolio of wind and solar farms in Great Britain for three months in 2024. The competition…

The presence of variable renewable energy resources with uncertain outputs in day-ahead electricity markets results in additional balancing needs in real-time. Addressing those needs cost-effectively and reliably within a competitive market…

Short-Term Electricity-Load Forecasting (STELF) refers to the prediction of the immediate demand (in the next few hours to several days) for the power system. Various external factors, such as weather changes and the emergence of new…

In this article, we consider European options of type $h(X^1_T, X^2_T,\ldots, X^n_T)$ depending on several underlying assets. We study how such options can be valued in terms of simple vanilla options in non-specified market models. We…

In this paper we introduce the problem of dynamic pricing of power for smart-grid networks. This is studied within a network utility maximization (NUM) framework in a deterministic setting with a single provider, multiple users and a finite…