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Grid-scale batteries increasingly influence outcomes in wholesale electricity markets, but their observed bid patterns remain difficult to interpret. In particular, bids that appear to reflect strategic withholding may instead arise from rational operations under price uncertainty and risk management. We develop an asset-level model of a price-taking battery that submits stepwise buy and sell bid curves in the day-ah…
The purpose of this paper is to identify the immediate and future retailer response to wholesale stockouts. We perform a statistical analysis of historical customer order and delivery data of a local tool wholesaler and distributor, whose customers are retailers, over a period of four years. We investigate the effect of customer service on the order fill rate and the rate of future demand, where the customer service …
We study the structure of locational marginal prices in day-ahead and real-time wholesale electricity markets. In particular, we consider the case of two North American markets and show that the price correlations contain information on the locational structure of the grid. We study various clustering methods and introduce a type of correlation function based on event synchronization for spiky time series, and anothe…
We empirically analyze the most volatile component of the electricity price time series from two North-American wholesale electricity markets. We show that these time series exhibit fluctuations which are not described by a Brownian Motion, as they show multi-scaling, high Hurst exponents and sharp price movements. We use the generalized Hurst exponent (GHE, $H(q)$) to show that although these time-series have strong…
This work presents the results of an empirical research with the target of modeling the stylized facts of the daily expost System Marginal Price (SMP) of the Greek wholesale electricity market, using data from January 2004 to December of 2011. SMP is considered here as the footprint of an underline stochastic and nonlinear process that bears all the information reflecting not only the effects of changes in endogenous…
Virtual bidding plays an important role in two-settlement electric power markets, as it can reduce discrepancies between day-ahead and real-time markets. Renewable energy penetration increases volatility in electricity prices, making accurate forecasting critical for virtual bidders, reducing uncertainty and maximizing profits. This study presents a Transformer-based deep learning model to forecast the price spread b…
We investigate the impact of several critical events associated with the Russo Ukrainian war, started officially on 24 February 2022 with the Russian invasion of Ukraine, on ten European electricity markets, two natural gas markets (the European reference trading hub TTF and N.Y. NGNMX market) and how these markets interact to each other and with USDRUB exchange rate, a financial market. We analyze the reactions of t…
Battery Energy Storage Systems (BESS) are a cornerstone of the energy transition, as their ability to shift electricity across time enables both grid stability and the integration of renewable generation. This paper investigates the profitability of different market bidding strategies for BESS in the Central European wholesale power market, focusing on the day-ahead auction and intraday trading at EPEX Spot. We emplo…
We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers competing for the retail order flow in a Bertrand fashion. On the other hand, the price-taking competitive liquidity providers characterize the open exchange model. We show that, when liquidity providers are risk averse, routing of the mar…
We study the problem of forecasting and optimally trading day-ahead versus real-time (DART) price spreads in U.S. wholesale electricity markets. Building on the framework of Galarneau-Vincent et al., we extend spike prediction from a single zone to a multi-zone setting and treat both positive and negative DART spikes within a unified statistical model. To translate directional signals into economically meaningful pos…
Electricity markets are under increasing pressure to maintain reliability amidst rising renewable penetration, demand variability, and occasional price shocks. Traditional capacity market designs often fall short in addressing this by relying on expected-value metrics of energy unserved, which overlook risk exposure in such systems. In this work, we present CapOptix, a capacity pricing framework that interprets capac…
Electricity price forecasting (EPF) is a branch of forecasting on the interface of electrical engineering, statistics, computer science, and finance, which focuses on predicting prices in wholesale electricity markets for a whole spectrum of horizons. These range from a few minutes (real-time/intraday auctions and continuous trading), through days (day-ahead auctions), to weeks, months or even years (exchange and ove…
Periodic Double Auctions (PDAs) are commonly used in the real world for trading, e.g. in stock markets to determine stock opening prices, and energy markets to trade energy in order to balance net demand in smart grids, involving trillions of dollars in the process. A bidder, participating in such PDAs, has to plan for bids in the current auction as well as for the future auctions, which highlights the necessity of g…
Utilization of non-linear tools to characterize the state of development of the electricity markets in Italy and Greece. This is equivalent to testing the Efficient Market Hypothesis on these markets. The tools include a variety of complexity measures like Maximal Lyapunov and Hurst exponents and HHI index for market concentration and Entropy, a measure of uncertainty and complexity in a dynamical system, applied on …
This paper proposes an agent-based model that combines both spot and balancing electricity markets. From this model, we develop a multi-agent simulation to study the integration of the consumers' flexibility into the system. Our study identifies the conditions that real-time prices may lead to higher electricity costs, which in turn contradicts the usual claim that such a pricing scheme reduces cost. We show that suc…
The recently announced Energy Union by the European Commission is the most recent step in a series of developments aiming at integrating the EU's gas markets to increase social welfare (SW) and security of gas supply. Based on a spatial partial equilibrium model, we analyze the changes in consumption, prices, and SW up to 2022 induced by the infrastructure expansions planned for this period. We find that wholesale pr…
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on the real-time wholesale electricity prices to the end consumers, and is shown to create a closed-loop feedback system between the physical layer and the market layer of the power …
In the LIBOR era, banks routinely tied revolving credit facilities to credit-sensitive benchmarks. This study assesses the Across-the-Curve Credit Spread Index (AXI) -- a transparent, transaction-based measure of wholesale bank funding costs -- as a complement to SOFR, summarizing its behavior, construction, and loan-pricing implications. AXI aggregates observable unsecured funding transactions across short- and long…
Wholesale Funding Dependence — Reliance on market funding versus sticky deposits.
Internalization Retail (Equity).
Bank Wholesale Funding (Banking).
Wholesale Funding US (Banking).
Wholesale Funding Euro Area (Banking).
Wholesale Funding UK (Banking).
Wholesale Funding Japan (Banking).
Wholesale Funding China (Banking).
Wholesale Funding EM Asia (Banking).
Wholesale Funding LatAm (Banking).
Wholesale Funding CEEMEA (Banking).
Wholesale Funding Canada (Banking).
Wholesale Funding Australia (Banking).
Wholesale Funding Nordics (Banking).
Wholesale Funding ASEAN (Banking).
Wholesale Funding India (Banking).
Wholesale Funding Korea (Banking).
Wholesale Funding GSIB (Banking).
Wholesale Funding regional (Banking).
Wholesale Funding trust bank (Banking).
Wholesale Funding broker-dealer (Banking).
Bank Wholesale Funding (Banking).
Wholesale Funding ASEAN (Banking).
Wholesale Funding Australia (Banking).
Wholesale Funding broker-dealer (Banking).
Wholesale Funding Canada (Banking).
Wholesale Funding CEEMEA (Banking).
Wholesale Funding China (Banking).
Wholesale Funding Dependence — Reliance on market funding versus sticky deposits.
Wholesale Funding EM Asia (Banking).
Wholesale Funding Euro Area (Banking).
Wholesale Funding GSIB (Banking).
Wholesale Funding India (Banking).
Wholesale Funding Japan (Banking).
Wholesale Funding Korea (Banking).
Wholesale Funding LatAm (Banking).
Wholesale Funding Nordics (Banking).
Wholesale Funding regional (Banking).
Wholesale Funding trust bank (Banking).
Wholesale Funding UK (Banking).
Wholesale Funding US (Banking).