相关论文: Pricing Real-time Stochastic Storage Operations
We consider dynamic pricing schemes in online settings where selfish agents generate online events. Previous work on online mechanisms has dealt almost entirely with the goal of maximizing social welfare or revenue in an auction settings.…
In this paper, we study a day ahead double energy auction in a distribution system involving dispatchable generation units, renewable generation units supported by battery storage systems(BSSs), fixed loads, price responsive loads, and…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and risk-constrained strategies for stochastic…
This paper presents a novel approach to pricing American options using piecewise diffusion Markov processes (PDifMPs), a type of generalised stochastic hybrid system that integrates continuous dynamics with discrete jump processes. Standard…
Time-bound stablecoins are DeFi assets that temporarily tokenize traditional securities during market off-hours, enabling continuous cross-market liquidity. We introduce the Liquidity-of-Time Premium (TLP): the extra return or cost of…
Mobility-on-Demand (MoD) systems have become a fixture in urban transportation networks, with the rapid growth of ride-hailing services such as Uber and Lyft. Ride-hailing is typically complemented with ridepooling options, which can reduce…
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…
We propose a dynamical model of price formation on a spatial market where sellers and buyers are placed on the nodes of a graph, and the distribution of the buyers depends on the positions and prices of the sellers. We find that, depending…
Recently, chance-constrained stochastic electricity market designs have been proposed to address the shortcomings of scenario-based stochastic market designs. In particular, the use of chance-constrained market-clearing avoids trading off…
In programmatic advertising, ad slots are usually sold using second-price (SP) auctions in real-time. The highest bidding advertiser wins but pays only the second-highest bid (known as the winning price). In SP, for a single item, the…
Infrastructure-as-a-Service providers are offering their unused resources in the form of variable-priced virtual machines (VMs), known as "spot instances", at prices significantly lower than their standard fixed-priced resources. To lease…
Stochastic matching is the stochastic version of the well-known matching problem, which consists in maximizing the rewards of a matching under a set of probability distributions associated with the nodes and edges. In most stochastic…
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
Energy storage can absorb variability from the rising number of wind and solar power producers. Storage is different from the conventional generators that have traditionally balanced supply and demand on fast time scales due to its hard…
There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…
To trade tokens in cryptoeconomic systems, automated market makers (AMMs) typically rely on liquidity providers (LPs) that deposit tokens in exchange for rewards. To profit from such rewards, LPs must use effective liquidity provisioning…
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…
In this paper we calculate the incremental system production cost associated with a measure of locational power injection uncertainty that can be interpreted as a locational price for tracking power fluctuations. This Locational Price of…