Carlo Lucheroni

Carlo Lucheroni
University of Camerino | UNICAM · School of Sciences and Technology

PhD

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38
Publications
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281
Citations

Publications

Publications (38)
Article
Full-text available
This paper introduces a scheme for hedging and managing production costs of a risky generation portfolio, initially assumed to be dispatchable, to which intermittent electricity generation from non-dispatchable renewable sources like wind is further added. The proposed hedging mechanism is based on fixing the total production level in advance, then...
Article
This paper evaluates the application of a family of VAR-mGARCH (Vector AutoRegressive with multivariate AutoRegressive Conditional Heteroskedasticity) volatility models to the problem of modeling (i.e. generating correct in-sample scenarios) and forecasting in a probabilistic way three univariate but mutually dependent wind speed hourly series. The...
Article
Full-text available
We propose a system level approach to value the impact on costs of the integration of intermittent renewable generation in a power system, based on expected breakeven cost and breakeven cost risk. To do this, we carefully reconsider the definition of Levelized Cost of Electricity (LCOE) when extended to non-dispatchable generation, by examining ext...
Article
In this paper we review and extend the stochastic LCOE portfolio theory, a mean-risk analysis of electricity generation investment portfolios, focusing on the distinction between risk and deviation risk measures in terms of risk distribution shaping. Using standard and more advanced stochastic optimization risk measures, we derive optimal portfolio...
Article
Market based pricing of CO2 was designed to control CO2 emissions by means of the price level, since high CO2 price levels discourage emissions. In this paper, it will be shown that the level of uncertainty on CO2 market prices, i.e. the volatility of CO2 prices itself, has a strong influence not only on generation portfolio risk management but als...
Conference Paper
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This paper discusses a recently introduced stochastic LCOE technique for optimizing multi-asset risky energy portfolios, and extends it using an improved dynamics and CVaR as a new interesting risk measure.
Conference Paper
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Hourly electricity prices are formed in daily auctions, but standard scalar price series modelling, linear and nonlinear, cannot take into account this auction information structure. Panel (i.e. vector) series modelling is more suitable than scalar modelling to include the auction information structure. In this paper, a set of linear and nonlinear...
Conference Paper
Full-text available
An interesting feature of some electricity logprice series is that they display daytime upward spikes and nighttime downward spikes. This paper will show that this phenomenology implies that the underlying data generating mechanism involves an implicit threshold behavior, and consequently that threshold stochastic dynamic models can be well suited...
Conference Paper
Full-text available
Calibration of a threshold autoregressive econometric model able to include spikes and antispikes in the modelling of electricity hourly price time series is presented and discussed. The calibration method is tested on synthetic data obtained from the model itself.
Article
Full-text available
The paper discusses a simple looking but highly nonlinear regime-switching, self-excited threshold model for hourly electricity prices in continuous and discrete time. The regime structure of the model is linked to organizational features of the market. In continuous time, the model can include spikes without using jumps, by defining stochastic orb...
Article
This paper discusses a rather general approach to build nonlinear dynamic models that reproduce some important aspects of electricity price series, as spike and antispike dynamics. Two specific models are proposed first in a continuous time form, then in four discrete time forms. It is then shown how to use these forms to calibrate the models on ma...
Article
This paper discusses a simple regime-switching SETARX model for electricity prices in discrete and continuous time. The regime structure of the model is linked to market organizational features. In continuous time the model can include spikes without using jumps.
Conference Paper
Full-text available
Two electricity price models are presented in the frame of switching and threshold autoregressive exogenous (TARX) models, both in continuous time and in discrete time. The first model is based on the biologically inspired McKean model for spiking neurons, the second model is its extension crafted in such a way to easily display a spike and antispi...
Article
Full-text available
This paper discusses two regime-switching TARX models for electricity prices that include spikes, antispikes and microeconomic threshold effects typical of power markets, with-out using jumps. Preliminary version.
Article
Two continuous-time models are presented in the frame of TARX and switching regime modelling of electricity time series. These two models take into account some basic but essential microeconomic fea-tures of real power markets and exploit the stochastically resonating spiking mechanism to generate spikes and antispikes. They can be easily discretiz...
Conference Paper
Full-text available
This paper describes a simple way to estimate a recently introduced nonlinear stochastic power market model based on the stochastically resonating spiking mechanism.
Article
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This paper describes a way to model a seasonally and irregularly peaking price dynamics, as that originated in commodity and energy markets, using a system of coupled nonlinear stochastic differential equations. The specific case of an electric power market is used to show which microeconomic features this approach is able to model. Critical point...
Article
This paper describes the economic phenomenon of price spiking in electric power markets and introduces an alternative way to model it. A stochastic FitzHugh-Nagumo dynamics in a special regime is proposed as a basic model for the power market, and an extension of the FitzHugh-Nagumo system is introduced to improve the statistical features of the ba...
Article
Full-text available
In this letter we discuss various properties of the local density of states (DOS) for a superconductor-ferromagnet hybrid system. The DOS is modified at small energies on both sides of the interface. Due to the interplay of superconductivity and ferromagnetism, the local DOS depends on the spin direction. The spin polarization effects extend over a...
Article
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The density, current, and spin response functions are investigated above the critical temperature Tc for a system of three-dimensional fermions interacting via an attractive short-range potential, as the strength of this potential is varied from weak to strong coupling. In the strong-coupling (bosonic) limit, we identify the dominant diagrammatic c...
Article
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A physically interesting system of sinh-Gordon partial differential equations is studied, which admits Hirota multilinearization. It is shown to be related with the double sine-Gordon equation, and with a restriction of the Toda lattice equations. Its integrability is discussed in some detail. PACS 02.90 – Other topics in mathematical methods in ph...
Article
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The static magnetic-flux patterns that ladders of Josephson junctions can support are numerically studied. For a given number of junctions, N, and a given inductive coupling βL, a charateristic structure of the junctions phase space is found, which allows a systematic classification of the patterns. The patterns are shown to be analogous to sine-Go...
Article
Full-text available
A technique to study self-inductive Josephson-junction array dynamics is proposed. It allows one to better understand the role of both the self-induced flux and the small self-inductance limit, to speed up numerical calculations, and to study the relation between frustration and phase locking. The technique is tested on two different example models...
Article
Full-text available
A simple but accurate mesh current analysis is performed on a XY model and on a SIMF model to derive the equations for a Josephson junction array. The equations obtained here turn out to be different from other equations already existing in the literature. Moreover, it is shown that the two models come from an unique hidden structure
Article
We use Dirac's time-dependent variational principle to discuss several features of the general nonlinear Schrödinger equation i(∂ψ/∂t) + ▿2ψ + |ψ∗ψ|κψ = 0 in d spatial dimensions for arbitrary nonlinearity parameter κ. We employ a family of trial variational wave functions, more general than Gaussians, which can be treated analytically and which pr...
Article
We use a variation method based on the principle of least action to obtain approximate time-dependent single soliton solutions to the KdV equation. A class of trial variational functions of the form u(x,t) = −A(t)exp[−β(t)|x−q(t)|2n], with n a continuous real variable, is used to parametrize time-dependent solutions. We find that this class of tria...
Article
We discuss the use of Dirac's variational principle as applied to a class of nonlinear Schrödinger equations, i∂psi/∂t +∇2psi+gpsi*psiKpsi = 0, in d spatial dimensions for arbitrary nonlinearity parameter K and for Gaussian initial data at t = 0. A Gaussian trial variational wave function is used to obtain qualitative information about blowup at fi...
Chapter
A relaxation process in condensed phase is commonly modelled by coupling the variables which represent the physical observables to an adequate linear heat-bath at thermal equilibrium[1]. Systematic projective techniques allow, then, to eliminate the fast relaxing heat-bath degrees of freedom[1,2] and obtain generalized Langevin equations for the re...
Article
Full-text available
We estimate analytically the density of solitons in a zero-pressure, infinite Toda lattice at thermal equilibrium. Our prediction is in close quantitative agreement with the results of recent simulations by Muto, Scott, and Christiansen [Phys. Lett. A 136, 33 (1989)]. In particular, at low temperature, the dependence of the soliton density on the t...

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