Technical paper/Power
Assessing the potential profitability of automated power market trading using event signals sourced from grid frequency data
The authors put forward a profitable trading strategy based on power grid events, demonstrating that minimized reaction times can increase profits.
Performance of value-at-risk averaging in the Nordic power futures market
The authors investigate the performance of various value-at-risk (VaR) models in the context of the highly volatile Nordic power futures market, examining whether simple averages of models provide better results than the individual models themselves.
Introducing stylized facts on electricity futures through a market impact model
This paper provides an alternative way to introduce the stylized facts on electricity futures.
Pricing fast-responding electric storage assets in the presence of negative prices and price spikes: a simulation-and-regression approach
This study focuses on the use of batteries for real-time power trading and proposes a simulation-and-regression-based valuation model.
Improving the Brazilian electricity market: how to replace the centralized dispatch by decentralized market-based bidding
This paper proposes replacing the Energy Reallocation Mechanism with a bid- based short-term market called the virtual reservoir model.
Navigating the new energy market dynamics
Utilities need to adapt to compete in the “new normal” environment of renewable energy supply
Intraday power storage and demand optionality
George Levy discusses the value of intraday power storage and demand optionality in UK power contracts
Barriers for district heating as a source of flexibility for the electricity system
In this paper, the authors investigate the barriers to including DH as a flexible resource for the electricity market in Denmark, Norway and Sweden.
Cutting Edge: Co-simulation of risk factors in power markets
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
Quant ideas: Do we need realistic models?
Realistic models not necessarily a prerequisite for successful risk management
Robust valuation and hedging of tolling agreements and physical assets
Flexible, martingale duality-based method provides reliable valuation
Cutting edge: Modelling dependence of price spikes in Australian electricity markets
The deregulation of Australian electricity markets has brought several challenges, including the possibility of price spikes, which expose market participants to significant risks. As Adebayo Aderounmu and Rodney Wolff outline, these spikes are hard to…
Cutting edge: Electricity contract risk with portfolio effects
The incremental risk of including electricity contracts in a portfolio is computed by George Levy using a Monte Carlo regime-switching approach. The volume and price processes are modelled using empirical distributions and correlation is captured via a…
Cutting edge: Valuation of spread commodity structures
Valuation of spread commodity structures in co-integrated futures markets