相关论文: Understanding electricity prices beyond the merit …
Precise day-ahead forecasts for electricity prices are crucial to ensure efficient portfolio management, support strategic decision-making for power plant operations, enable efficient battery storage optimization, and facilitate demand…
The European electricity market is based on large pricing zones with a uniform day-ahead price. The energy transition leads to changes in supply and demand and increasing redispatch costs. In an attempt to ensure efficient market clearing…
This paper evaluates market equilibrium under different pricing mechanisms in a two-settlement 100%-renewables electricity market. Given general probability distributions of renewable energy, we establish game-theoretical models to analyze…
Decentralized electricity markets are often dominated by a small set of generator companies who control the majority of the capacity. In this paper, we explore the effect of the total controlled electricity capacity by a single, or group,…
The participation of electric vehicle (EV) aggregators in real-time electricity markets offers promising revenue opportunities through price-responsive energy arbitrage. A central challenge in economic bidding lies in quantifying the…
We propose a new model for electricity pricing based on the price cap principle. The particularity of the model is that the asset price is an exponential functional of a jump L\'evy process. This model can capture both mean reversion and…
Short term electricity price forecast is essential in competitive power markets, yet electricity price series exhibit high volatility, irregularity, and non-stationarity. This phenomenon is pronounced in the South Australian region of the…
The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits…
Deterministic frequency deviations (DFDs) critically affect power grid frequency quality and power system stability. A better understanding of these events is urgently needed as frequency deviations have been growing in the European grid in…
Wind power producers (WPPs) participating in short-term power markets face significant imbalance costs due to their non-dispatchable and variable production. While some WPPs have a large enough market share to influence prices with their…
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…
A competitive wholesale electricity market consists of thousands of interacting market participants. Driven by the variations of fuel costs, system loads and weathers, these market participants compete actively and behave variously in the…
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…
Several autonomous energy management and peer-to-peer trading mechanisms for future energy markets have been recently proposed based on optimization and game theory. In this paper, we study the impact of trading prices on the outcome of…
Electricity market price predictions enable energy market participants to shape their consumption or supply while meeting their economic and environmental objectives. By utilizing the basic properties of the supply-demand matching process…
Electricity price forecasts are typically evaluated using accuracy measures such as RMSE and MAE, although these metrics often fail to reflect their economic value in operational decisions. This paper investigates which statistical…
Dynamic pricing in high-dimensional markets poses fundamental challenges of scalability, uncertainty, and interpretability. Existing low-rank bandit formulations learn efficiently but rely on latent features that obscure how individual…
This paper investigates large fluctuations of Locational Marginal Prices (LMPs) in wholesale energy markets caused by volatile renewable generation profiles. Specifically, we study events of the form $\mathbb{P} \Big ( \mathbf{LMP} \notin…
In this paper, we propose a complete modelling framework to value several batteries in the electricity intraday market at the trading session scale. The model consists of a stochastic model for the 24 mid-prices (one price per delivery…
This paper introduces the class of volatility modulated L\'{e}vy-driven Volterra (VMLV) processes and their important subclass of L\'{e}vy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main…