相关论文: Long-term Hydrothermal Bid-based Market Simulator

Bilateral markets, such as those for government bonds, involve decentralized and opaque transactions between market makers (MMs) and clients, posing significant challenges for traditional modeling approaches. To address these complexities,…

The liberalization of electricity markets and the development of renewable energy sources has led to new challenges for decision makers. These challenges are accompanied by an increasing uncertainty about future electricity price movements.…

Short-term industrial enterprises power system forecasting is an important issue for both load control and machine protection. Scientists focus on load forecasting but ignore other valuable electric-meters which should provide guidance of…

This paper deals with the market-bidding problem of a cluster of price-responsive consumers of electricity. We develop an inverse optimization scheme that, recast as a bilevel programming problem, uses price-consumption data to estimate the…

The paper proposes a computationally efficient electricity market simulation tool (MST) suitable for future grid scenario analysis. The market model is based on a unit commitment (UC) problem and takes into account the uptake of emerging…

Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…

Bidding strategies that help advertisers determine bidding prices are receiving increasing attention as more and more ad impressions are sold through real-time bidding systems. This paper first describes the problem and challenges of…

Large language models (LLMs) have demonstrated remarkable capabilities in natural language tasks, yet their performance in dynamic, real-world financial environments remains underexplored. Existing approaches are limited to historical…

We develop a bidding strategy for a hybrid power plant combining co-located wind turbines and an electrolyzer, constructing a price-quantity bidding curve for the day-ahead electricity market while optimally scheduling hydrogen production.…

In electronic trading markets often only the price or volume time series, that result from interaction of multiple market participants, are directly observable. In order to test trading strategies before deploying them to real-time trading,…

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…

Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…

The ATLAS model simulates the various stages of the electricity market chain in Europe, including the formulation of offers by different market actors, the coupling of European markets, strategic optimization of production portfolios and,…

This paper introduces and rationalizes a new model for bidding and clearing energy storage resources in wholesale energy markets. Charge and discharge bids in this model depend on the storage state-of-charge (SoC). In this setting, storage…

We assume the market price to diffuse in a hierarchical comb of barriers, the heights of which represent the importance of new information entering the market. We find fat tails with the desired exponent for the price change distribution,…

A smart grid connects wind or solar or storage farms, fossil fuel plants, industrialor commercial loads, or load serving entities, modeled as stochastic dynamical systems. In each time period, they consume or supply electrical energy, with…

We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…

Thermodynamic selection is an indirect competition between agents feeding on the same energy resource and obeying the laws of thermodynamics. We examine scenarios of this selection, where the agent is modeled as a heat-engine coupled to two…

We propose and analyze a day-ahead reserve market model that handles bids from flexible loads. This pool market model takes into account the fact that a load modulation in one direction must usually be compensated later by a modulation of…

This paper develops a machine learning-driven portfolio optimization framework for virtual bidding in electricity markets considering both risk constraint and price sensitivity. The algorithmic trading strategy is developed from the…