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A linear programming framework is proposed to model distribution network characteristics, and market clearing processes for flexible load and distributed energy resources providing reserve and reactive power compensation. One shows that the Nash equilibriu ...
Process industries (PI) have thrived in recent decades, but structural changes in the markets are currently putting both growth and profitability at risk. In a period of tumbling prices, supply chain management (SCM) is increasingly viewed as an essential ...
We study the effect of Demand-Response (DR) in dynamic real-time electricity markets. We use a two-stage market model that takes into account the dynamical aspects of generation, demand, and DR. We study the real-time market prices in two scenarios: in the ...
This thesis is structured in three chapters, each pertaining to a specific problem in financial economics. The first chapter, titled 'High-Frequency Jump Analysis of the Bitcoin Market' and co-authored with Prof. Olivier Scaillet and Adrien Treccani of the ...
For some time, regulatory reforms in Europe have aimed at electricity market liberalisation. One of the many consequences is that increasingly spot market transactions replace long- term contracts, thus redefining the way wholesale electricity prices are f ...
In the context of integrated transportation and other urban engineering infrastructure systems, there are many examples of markets, where consumers exhibit price-taking behaviour. While this behaviour is ubiquitous, the underlying mechanism can be captured ...
This paper studies the value of information on future price behaviour. We consider a one-period inventory modelling framework with random period length and two order opportunities. The selling price is determined dynamically and the demand is price-sensiti ...
We develop a finite horizon continuous time market model, where risk-averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock, and a defaultable bond, whose prices are determined via equil ...
Wiley-Blackwell2015
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We study the effect of Demand-Response (DR) in dynamic real-time electricity markets. We use a two-stage market model that takes into account the dynamical aspects of generation, demand, and DR. We study the real-time market prices in two scenarios: in the ...
The aim of this paper is to analyze and to improve the current planning process of the passenger railway service. At first, the state-of-the-art in research is presented. However, given the recent changes in legislature allowing competitors in the railway ...
