相关论文: Maximizing Battery Storage Profits via High-Freque…
Industrial electricity consumers with flexible demand can profit by adjusting their load to short-term prices and by providing balancing services to the grid. Markets which support this kind of short-term position adjustment are the…
High-frequency market making is a liquidity-providing trading strategy that simultaneously generates many bids and asks for a security at ultra-low latency while maintaining a relatively neutral position. The strategy makes a profit from…
We consider using a battery storage system simultaneously for peak shaving and frequency regulation through a joint optimization framework which captures battery degradation, operational constraints and uncertainties in customer load and…
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…
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…
Asynchronous trading in high-frequency financial markets introduces significant biases into econometric analysis, distorting risk estimates and leading to suboptimal portfolio decisions. Existing synchronization methods, such as the…
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…
The growing share of Renewable Energy Sources (RES) in modern power systems increases both grid imbalances and frequency deviations, reinforcing the need for ancillary services such as Frequency Containment Reserve (FCR) and passive…
This paper presents a real time control strategy for energy storage systems integration in electric vehicles fast charging applications combined with generation from intermittent renewable energy sources. A two steps approach taking…
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…
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…
The provision of renewable electricity is the foundation for a sustainable future. To achieve the goal of sustainable renewable energy, Battery Energy Storage Systems (BESS) could play a key role to counteract the intermittency of solar and…
With the ever increasing prominence of data in retail operations, sales forecasting has become an essential pillar in the efficient management of inventories. When facing high demand, the use of backroom storage and intraday shelf…
The paper suggests a new stochastic model for energy producing, dispatching, and storing in the multi-battery setting that takes into account the topology of the system of the links between the batteries, the transmission and storage…
Energy arbitrage is one of the most profitable sources of income for battery operators, generating revenues by buying and selling electricity at different prices. Forecasting these revenues is challenging due to the inherent uncertainty of…
This work studies synergies arising from combining industrial demand response and local renewable electricity supply. To this end, we optimize the design of a local electricity generation and storage system with an integrated demand…
We consider a two-level profit-maximizing strategy, including planning and control, for battery energy storage system (BESS) owners that participate in the primary frequency control (PFC) market. Specifically, the optimal BESS control…
Power systems with high penetration of variable renewable generation are vulnerable to periods with low generation. An alternative to retain high dispatchable generation capacity is electric energy storage that enables utilization of…
Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of…
In this paper, we propose to model the energy consumption of smart grid households with energy storage systems as an intertemporal trading economy. Intertemporal trade refers to transaction of goods across time when an agent, at any time,…