Working Papers and Publications

Our core research areas comprise energy finance, energy price modelling and operative planning in energy markets, as well as market design, regulation and consumer and producer behavior in energy markets.

For the complete list of working papers and publications, click here.

Power Markets & Policy Energy: Supply, Demand, and Global Markets Energy & Technology

2020

Kuppelwieser, T.; Wozabal, D.: Liquidity Costs on Intraday Power Markets: Continuous Trading versus Auctions. Working Paper, 2020 mehr…

Gutjahr, W.; Kovacevic, R.; Wozabal, D.: Splitting a Random Pie: Nash-Type Bargaining for Risk Averse Agents. Submitted to Operations Research, 2020 mehr… Terça, G.; Wozabal, D.: Economies of Scope for Electricity Storage and Variable Renewables. Submitted to IEEE Transaction on Power Systems, 2020 mehr…
Löhndorf, N.; Wozabal, D.: The Value of Coordination in Multimarket Bidding of Grid Energy Storage. Submitted to Management Science, 2020 mehr… Löhndorf, N.; Wozabal, D.: A Second-Order Gradient Descent Algorithm for the Discretization of Markov Processes in Stochastic Optimization. Working Paper, 2020 mehr…  
Le Coq, Chloé; Schwenen, Sebastian: Financial contracts as coordination device. Journal of Economics & Management Strategy, 2020 mehr…    
Wozabal, David; Rameseder, Gunther: Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity. European Journal of Operational Research 280 (2), 2020, 639-655 mehr…    

2019

Matthäus, D.; Schwenen, S.; Wozabal, D.: Renewable Auctions – A Real Options Approach. Submitted to European Journal of Operational Management (under review), 2019 mehr… Kiszka, A.; Wozabal, D.: A Stability Result for Linear Markov Decision Processes. Submitted to Mathematical Programming, Series A (Revise \& Resubmit), 2019 mehr…  
  Terça, G.; Wozabal, D.: Envelope Theorems for Multi-Stage Linear Stochastic Optimization. Submitted to Operations Research (Revise \& Resubmit, 2nd Revision), 2019 mehr…  
  Löhndorf, N., Wozabal, D.: Indifference pricing of natural gas storage contracts. Submitted to the European Journal of Operational Research (Revise & Resubmit), 2019, mehr…  

2018

    Gersema, Gerke; Wozabal, David: Risk-optimized pooling of intermittent renewable energy sources. Journal of Banking & Finance 95, 2018, 217-230 mehr…

2017

Le Coq, Chloé, Henrik Orzen, and Sebastian Schwenen: Pricing and capacity provision in electricity markets: an experimental study. Journal of Regulatory Economics , 2017, 123-158. mehr… Gersema, Gerke; Wozabal, David: An equilibrium pricing model for wind power futures. Energy Economics 65, 2017, 64-74 mehr…  

2016

Karsten Neuhoff, Jochen Diekmann, Friedrich Kunz, Sophia Rüster, Wolf-Peter Schill, Sebastian Schwenen: A coordinated strategic reserve to safeguard the European energy transition. Utilities Policy , 2016, 252-263 mehr…    
Neuhoff, Karsten; Ruester, Sophia; Schwenen, Sebastian: Power markets with Renewables: New perspectives for the European Target Model. The Energy Journal 37, Special Issue, 2016 mehr…    

2015

Schwenen, Sebastian: Strategic bidding in multi-unit auctions with capacity constrained bidders: the New York capacity market. The RAND Journal of Economics 46, 2015, 730-750 mehr…    
Wozabal, David; Graf, Christoph; Hirschmann, David: The Effect of Intermittent Renewables on the Electricity Price Variance. OR Spectrum, 2015 mehr…    

2014

Kovacevic, R.; Wozabal, D.: A semiparametric model for electricity spot prices. IIE Transactions 46 (4), 2014, 344-356 mehr…    
Ruester, Sophia; Schwenen, Sebastian; Finger, Matthias; Glachant, Jean-Michel: A post-2020 EU energy technology policy: Revisiting the Strategic Energy Technology plan. Energy Policy (66), 2014, 209-217 mehr…    
Ruester, Sophia; Schwenen, Sebastian; Perez-Arriaga, Ignacio; Batlle, Carlos: From distribution networks to smart distribution systems: Rethinking the regulation of European electricity DSOs. Utilities Policy (31), 2014, 229-237 mehr…    
Schwenen, Sebastian: Market design and supply security in imperfect power markets. Energy Economics 43, 2014, 256-263 mehr…    
Schwenen, Sebastian; Neuhoff, Karsten: The Declining Value of Peak Forward Contracts. Energy Forum (First Quarter), 2014, 7-8 mehr…    

2013

Graf, C.; Wozabal, D.: Measuring competitiveness of the EPEX spot market for electricity. Energy Policy 62 (November), 2013, 948-958 mehr… Löhndorf, N.; Wozabal, D.; Minner, S.: Optimizing Trading Decisions for Hydro Storage Systems using Approximate Dual Dynamic Programming. Operations Research 61 (4), 2013, 810-823 mehr…  
Ruester, Sophia; Schwenen, Sebastian; Finger, Matthias; Glachant, Jean-Michel: A strategic energy technology policy towards 2050: No-regret strategies for European technology push. International Journal of Energy Technology and Policy (9), 2013, 160-174 mehr…    

Wozabal, D.; Graf, G.; Hirschmann, D.: Renewable Energy and its Impact on Power Markets. In: Kovacevic, Raimund M.; Pflug, Georg Ch.; Vespucci, Maria Teresa (Hrsg.): Handbook of Risk Management in Energy Production and Trading. Springer, 2013, 283-311 mehr…

   

2010

  Hochreiter, R.; Wozabal, D.: A multi-stage stochastic programming model for managing risk-optimal electricity portfolios. Energy Systems, 2010, 383-404 mehr…  

2006

  Hochreiter, R.; Pflug, G. Ch.; Wozabal, D.: Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. Springer IFIP International Federation for Information Processing Series, System Modeling and Optimization (199), 2006, 219-226 mehr…