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High price volatility and excessive price reduction are introduced as two emerging problems in wind dominant electricity markets. In this study, an agent-based simulation methodology is employed to investigate the impact of two pricing mechanisms, uniform and pay-as-bid, on the mentioned problems. According to the proposed agent-based approach, electricity market agents (here generation units) learn...
In this study, a new pricing approach is proposed to increase demand responsiveness. The proposed approach considers two well-known demand side management techniques, namely peak shaving and valley filling. This is done by incentivizing consumers by magnifying price difference between peak and off-peak hours. The usefulness of the suggested method is then investigated by its combination with an electric...
High penetration of intermittent renewable energy sources causes price volatility in future electricity markets. This is specially the case in European countries that plan high penetration levels. This highlights the necessity for revising market regulations and mechanisms in accordance to generation combination portfolio. Proposed solutions should be able to tackle with emerging challenges which...
In order to solve the Bermuda reset option in the presence of transaction costs, the Markov chain and dual analysis are adopted in the pricing procedures. By introducing mixed stopping times, gradient restriction and domain restriction, we construct the framework which is essential for us to perform the algorithm. After the basic setups, we elaborate on the procedures for the reset option pricing...
Since the hourly spot market price is available one day ahead in Denmark, the price could be transferred to the consumers and they may shift their loads from high price periods to the low price periods in order to save their energy costs. This paper presents a load optimization method to time-of-use power price for demand side management in order to save the energy costs as much as possible. 3 typical...
The western Danish power system is currently the grid area in the world that has the largest share of wind power in its generation profiles, with more than 20% of its annual consumption generated by wind turbines. In this paper, the western Danish power system, which may represent the future of competitive electricity markets in some ways, is chosen as the studied power system. The relationship between...
Since the hourly spot market price is available one day ahead in Denmark, the price could be transferred to the consumers and they may shift their loads from high price periods to the low price periods in order to save their energy costs. The optimal load response to a real-time electricity price for demand side management generates different load profiles and may have some impacts on power system...
The volatility of stock price states the uncertainty of the future price movements, that is risk. By means of the ARCH and its modified models, this paper presents a verification analysis of the volatility heteroscedasticity and the resilience to external shocks for China stock market in the past three years based on the stock index of SSE180, SZSE40, Coal, Petroleum and Finance sectors. The study...
The stock prices are affected by historical information to a certain extent. The fluctuation volatility can be measured by the Hurst index. With modified rescale range/standard deviation (R/S) model, this paper presents an analysis of CSI 300 index, coal and oil industry index, and other six individual stocks in different industries for their fluctuation features.
This paper presents a daily load response model based on the day ahead spot market prices. It can simulate an optimal expense saving on electricity based on the assumption that the total consumption is not changed. A mathematic formulation is described for the load reduction in potential hours by judging whether the actual price is higher than a certain response price. The model computation can be...
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