Afzal Siddiqui
Senior Lecturer
Phone Number:
+44 (0) 20 7679 1871
Fax Number:
+44 (0) 20 3108 3105
Postal Address:
Department of Statistical Science
University College London
Gower Street
London WC1E 6BT
United Kingdom
Visiting Address:
Room 137
1-19 Torrington Place
London WC1E 7HB
E-Mail Address:
afzal “at” stats “dot” ucl “dot” ac “dot” uk
Education
University of California, Berkeley, CA, USA PhD (2002) Industrial Engineering and Operations Research Minor Fields: Economics, Energy and Resources Dissertation Title: Equilibrium Analysis of Forward Markets for Electricity and Reserves Advisor: Shmuel Oren Committee: Chris Marnay, Sheldon Ross, and Catherine Wolfram
University of California, Berkeley, CA, USA MS (1998) Industrial Engineering and Operations Research
Columbia University, New York, NY, USA BS (1997) Industrial Engineering and Operations Research, academic honours with distinction
Career
Full-time Employment
University College London, London, United Kingdom
Senior Lecturer, Department of Statistical Science (2010 - present) Lecturer, Department of Statistical Science (2005 - 2010)
University College Dublin, Dublin, Republic of Ireland College Lecturer, Department of Banking and Finance (2003 - 2005)
Ernest Orlando Lawrence Berkeley National Laboratory, Berkeley, CA, USA Visiting Post-doctoral Researcher, Environmental Energy Technologies Division (2002 - 2003)
Other Affiliations
Stockholm University, Stockholm, Sweden
Professor (20% appointment), Department of Computer and Systems Sciences (2011 - present) Research Engineer (20% appointment), Department of Computer and Systems Sciences (2008 - 2011)
Aalto University, Helsinki, Finland
Visiting Professor, Systems Analysis Laboratory (2012 – present)
Ernest Orlando Lawrence Berkeley National Laboratory, Berkeley, CA, USA Guest Senior Scientist and Consultant, Environmental Energy Technologies Division (2004 - present)
HEC Montréal, Montréal, Québec, Canada
Assistant Professor, Projets Internationaux course "Energy Planning and Demand Forecasting" at the Sichuan Electric Power Corporation, Chengdu, Sichuan, PR China (2009, 2011) and at the Jilin Electric Power Corporation, Changchun, Jilin, PR China (2010)
Norwegian University of Science and Technology, Trondheim, Norway
Visiting Researcher (sabbatical leave), Department of Industrial Economics and Technology Management (2008)
Asia Pacific Management Institute, Singapore, Republic of Singapore Lecturer, Business Finance (2004 - 2005)
University of California, Berkeley, CA, USA Visiting Assistant Professor, Department of Industrial Engineering and Operations Research (2002)
Research
My research interests are in energy economics, specifically the application of financial and operational research methods for pricing energy instruments and analysing investment incentives. Currently, I am using both analytical and numerical implementations of real options to support decision-making under uncertainty for distributed generation (DG) investment and operations, research and development (R&D) programmes in alternative energy technologies, and demand-side management. Since 2009, I have been involved with the ELDEV project in Trondheim, Norway, which seeks to foster closer cooperation between industry and academia, namely in the area of improved business practices for the electric power industry. I have also contributed to the development of a deterministic optimisation tool, DER-CAM, that solves a microgrid’s DG investment and operational problem in detail. Please find below a partial list of my publications. Ongoing work involves a UK Energy Research Centre project on the use of real options in energy-sector decarbonisation as well as coordination of an EU FP7 project, EnRiMa, which aims to use stochastic optimisation in order to improve energy efficiency and manage risk in European public buildings.
Articles in Refereed Journals
1. Chin, Dorea and Afzal S. Siddiqui (2013), "Capacity Expansion and Forward Contracting in a Duopolistic Power Sector," Computational Management Science, forthcoming.
2. Chronopoulos, Michail, Bert De Reyck, and Afzal S. Siddiqui (2013), "The Value of Capacity Sizing under Risk Aversion and Operational Flexibility," IEEE Transactions on Engineering Management, forthcoming.
3. Marnay, Chris, Michael Stadler, Afzal S. Siddiqui, Nicholas DeForest, Jon Donadee, Prajesh Bhattacharya, and Judy Lai (2013), "Applications of Optimal Building Energy System Selection and Operation," Journal of Power and Energy 227(1): 82-93.
4. Siddiqui, Afzal S. and Ryuta Takashima (2012), "Capacity Switching Options under Rivalry and Uncertainty," European Journal of Operational Research 222(3): 583-595.
5. Stadler, Michael, Chris Marnay, Maximilian Kloess, Gonçalo Cardoso, Gonçalo Mendes, Afzal S. Siddiqui, Ratnesh Sharma, Olivier Mégel, and Judy Lai (2012), "Optimal Planning and Operation of Smart Grids with Electric Vehicle Interconnection," Journal of Energy Engineering 138(2): 95-108.
6. Heydari, Somayeh, Nick Ovenden, and Afzal S. Siddiqui (2012), "Real Options Analysis of Investment in Carbon Capture and Sequestration Technology," Computational Management Science 9(1): 109-138.
7. Fleten, Stein-Erik, Ane Marte Heggedal, and Afzal S. Siddiqui (2011), "Transmission Capacity between Norway and Germany – a Real Options Analysis," Journal of Energy Markets 4(1): 121-147.
8. Coville, Aidan, Afzal S. Siddiqui, and Klaus-Ole Vogstad (2011), "The Effect of Missing Data on Wind Resource Estimation," Energy 36(7): 4505-4517.
9. Chronopoulos, Michail, Bert De Reyck, and Afzal S. Siddiqui (2011), "Optimal Investment under Operational Flexibility, Risk Aversion, and Uncertainty," European Journal of Operational Research 213(1): 221-237.
10. Stadler, Michael, Afzal S. Siddiqui, Chris Marnay, Hirohisa Aki, and Judy Lai (2011), "Control of Greenhouse Gas Emissions by Optimal DER Technology Investment and Energy Management in Zero-Net-Energy Buildings," European Transactions on Electrical Power 21(2): 1291-1309.
11. Siddiqui, Afzal S. and Stein-Erik Fleten (2010), "How to Proceed with Competing Alternative Energy Technologies: a Real Options Analysis," Energy Economics 32(4): 817-830.
12. Heydari, Somayeh and Afzal S. Siddiqui (2010), "Valuing a Gas-Fired Power Plant: a Comparison of Ordinary Linear Models, Regime-Switching Approaches, and Models with Stochastic Volatility," Energy Economics 32(3): 709-725.
13. Siddiqui, Afzal S. and Karl M. Maribu (2009), "Investment and Upgrade in Distributed Generation under Uncertainty," Energy Economics 31(1): 25-37.
14. Siddiqui, Afzal S. and Chris Marnay (2008), "Distributed Generation Investment by a Microgrid under Uncertainty," Energy 33(12): 1729-1737.
15. Marnay, Chris, Giri Venkatarmanan, Michael Stadler, Afzal S. Siddiqui, Ryan M. Firestone, and Bala Chandran (2008), "Optimal Technology Selection and Operation of Commercial-Building Microgrids," IEEE Transactions on Power Systems 23(3): 975-982.
16. Siddiqui, Afzal S. and Chris Marnay (2007), "Operation of Distributed Generation under Stochastic Prices," Pacific Journal of Optimization 3(3): 439-458.
17. Maribu, Karl M., Ryan M. Firestone, Chris Marnay, and Afzal S. Siddiqui (2007), "Distributed Energy Resources Market Diffusion Model," Energy Policy 35(9): 4471-4484.
18. Siddiqui, Afzal S., Chris Marnay, Ryan M. Firestone, and Nan Zhou (2007), "Distributed Generation with Heat Recovery and Storage," Journal of Energy Engineering 133(3): 181-210.
19. Illindala, Mahesh, Afzal S. Siddiqui, Giri Venkataramanan, and Chris Marnay (2007), "Localized Aggregation of Diverse Energy Sources for Rural Electrification Using Microgrids," Journal of Energy Engineering 133(3): 121-131.
20. Siddiqui, Afzal S., Chris Marnay, and Ryan H. Wiser (2007), "Real Options Valuation of US Federal Energy Efficiency and Renewable Energy Research, Development, Demonstration and Deployment," Energy Policy 35(1): 265-279.
21. Siddiqui, Afzal S., Emily Bartholomew, and Chris Marnay (2005), "Empirical Analysis of the Spot Market Implications of Price-Responsive Demand," Energy Studies Review 14(1): 136-155.
22. Siddiqui, Afzal S., Emily Bartholomew, Chris Marnay, and Shmuel S. Oren (2005), "Efficiency of the New York Independent System Operator Market for Transmission Congestion Contracts," Managerial Finance 31(6): 1-45.
23. Siddiqui, Afzal S., Chris Marnay, Jennifer L. Edwards, Ryan M. Firestone, Srijay Ghosh, and Michael Stadler (2005), "Effects of Carbon Tax on Combined Heat and Power Adoption by a Microgrid," Journal of Energy Engineering 131(1): 2-25.
24. Siddiqui, Afzal S., Chris Marnay, Owen Bailey, and Kristina Hamachi LaCommare (2005), "Optimal Selection of On-Site Power Generation with Combined Heat and Power Applications," International Journal of Distributed Energy Resources 1(1): 33-62.
25. Bartholomew, Emily, Afzal S. Siddiqui, Chris Marnay, and Shmuel S. Oren (2003), "The New York Transmission Congestion Contract Market: Is It Truly Working Efficiently?" The Electricity Journal 16(9): 14-24.
26. Siddiqui, Afzal S. (2003), "Managing Electricity Reliability Risk Through the Forward Markets," Networks and Spatial Economics 3(2): 225-263.
27. Siddiqui, Afzal S., Chris Marnay, and Mark Khavkin (2000), "Excessive Price Volatility in the California Ancillary Services Markets: Causes, Effects, and Solutions," The Electricity Journal 13(6): 58-68.
Conference Proceedings and Book Chapters
1. Takashima, Ryuta, Afzal S. Siddiqui, and Shoji Nakada, "Investment Timing, Capacity Sizing, and Technology Choice of Power Plants," in Handbook of Networks in Power Systems (A Sorokin, S Rebennack, N Iliadis, M Pereira, and P Pardalos, eds.), Springer, forthcoming.
2. Siddiqui, Afzal S., Michael Stadler, Chris Marnay, and Judy Lai, "Optimal Control of Distributed Energy Resources and Demand Response under Uncertainty," in 33rd International Conference Proceedings of the International Association for Energy Economics, Rio de Janeiro, Brazil (6-9 June 2010).
3. Heydari, Somayeh and Afzal S. Siddiqui, "Real Options Analysis of Multiple-Exercise Interruptible Load Contracts," in 5th Conference on Energy Economics and Technology, Dresden, Germnay (16 April 2010).
4. Marnay, Chris, Judy Lai, Michael Stadler, and Afzal S. Siddiqui, "Added Value of Reliability to a Microgrid: Simulations of Three California Buildings," in Cigré-PES Symposium on Integration of Wide-Scale Renewable Resources into the Power Delivery System General Meeting PES, Calgary, AB, Canada (29-31 July 2009).
5. Chronopoulos, Michail, Bert De Reyck, and Afzal S. Siddiqui, "Optimal Investment and Operational Decision-Making under Risk Aversion and Uncertainty," in INFORMS MSOM and SIG Meetings, Cambridge, MA, USA (28-30 June 2009).
6. Coville, Aidan, Afzal S. Siddiqui, and Klaus-Ole Vogstad, "The Effect of Missing Data on Wind Resource Estimation," in 32nd International Conference Proceedings of the International Association for Energy Economics, San Francisco, CA, USA (21-24 June 2009).
7. Stadler, Michael, Chris Marnay, Afzal S. Siddiqui, Judy Lai, and Hirohisa Aki, "Integrated Building Energy Systems Design Considering Storage Technologies," in Proceedings of the 2009 European Council for an Energy Efficient Economy (ECEEE) Summer Study, paper #7301, La Colle sur Loup, France (1-6 June 2009).
8. Stadler, Michael, Hirohisa Aki, Ryan Firestone, Judy Lai, Chris Marnay, and Afzal S. Siddiqui, "Distributed Energy Resources On-Site Optimization for Commercial Buildings with Electric and Thermal Storage Technologies," in Proceedings of the 2008 American Council for an Energy Efficient Economy Summer Study, Pacific Grove, CA, USA (17-22 August 2008).
9. Siddiqui, Afzal S. and Stein-Erik Fleten, "How to Proceed with the Thorium Nuclear Technology: a Real Options Analysis," in 3rd Conference on Energy Economics and Technology, Dresden, Germany (11 April 2008).
10. Siddiqui, Afzal S., Emily Bartholomew, Chris Marnay, and Shmuel S. Oren, "Risk Aversion and the New York Independent System Operator’s Market for Transmission Congestion Contracts," in 6th European Conference Proceedings of the International Association for Energy Economics, Zürich, Switzerland (2-3 September 2004).
11. Wiser, Ryan, Steven Pickle, and Afzal S. Siddiqui, "The California Power Sector," in Principles of Electricity Economics: Regulation and Deregulation (T. Gómez and G. Rothwell, eds.), Wiley-IEEE Press (2003): 129-160.
12. Marnay, Chris, Kristina Hamachi, Mark Khavkin, and Afzal S. Siddiqui, "Direct Participation of Electrical Loads in the California Independent System Operator Markets During the Summer of 2000," in Proceedings of the 2001 European Council for an Energy Efficient Economy (ECEEE) Summer Study, paper #5162, Mandelieu, France (11-16 June 2001).
13. Siddiqui, Afzal S., Chris Marnay, Kristina Hamachi, and F. Javier Rubio, "Customer Adoption of Small-Scale On-Site Power Generation," in Proceedings of the 2001 European Council for an Energy Efficient Economy (ECEEE) Summer Study, paper #2163, Mandelieu, France (11-16 June 2001).
14. Siddiqui, Afzal S., Chris Marnay, and Mark Khavkin, "Spot Pricing of Electricity and Ancillary Services in a Competitive California Market," in Proceedings of the 34th Hawaii International Conference on Systems Sciences, Maui, HI, USA (3-6 January 2001).
15. Siddiqui, Afzal S., Chris Marnay, and Mark Khavkin, "Competitive Ancillary Service Procurement in California," in Energieinnovation im liberalisierten markt (K. Friedrich and W. Wallner, eds.), Graz, Austria (1-2 February 2000).
Technical Reports
1. Siddiqui, Afzal S. and Chris Marnay, "Addressing an Uncertain Future Using Scenario Analysis," Lawrence Berkeley National Laboratory Report, Berkeley, CA, USA (January 2007).
2. Siddiqui, Afzal S., Equilibrium Analysis of Forward Markets for Electricity and Reserves, PhD thesis, Department of Industrial Engineering and Operations Research, University of California, Berkeley, CA, USA (May 2002).
3. Edwards, Jennifer L., Chris Marnay, Emily Bartholomew, Boubékeur Ouaglal, Afzal S. Siddiqui, and Kristina LaCommare, "Assessment of mGrid Distributed Energy Resource Potential Using DER-CAM and GIS", Lawrence Berkeley National Laboratory Report LBNL-50132, Berkeley, CA, USA (January 2002).
4. Siddiqui, Afzal S., Anibal de Almeida, Chris Marnay, and F. Javier Rubio, "The Implications of Carbon Taxation on Microgrid Adoption of Small-Scale On-Site Power Generation Using a Multi-Criteria Approach," Lawrence Berkeley National Laboratory Report LBNL-49309, Berkeley, CA, USA (December 2001).
5. Marnay, Chris, Joseph Chard, Kristina Hamachi, Timothy Lipman, Mithra Moezzi, Boubékeur Ouaglal, and Afzal S. Siddiqui, "Modeling of Customer Adoption of Distributed Energy Resources," Lawrence Berkeley National Laboratory Report LBNL-49582, Berkeley, CA, USA (August 2001).
6. Rubio, F. Javier, Afzal S. Siddiqui, Chris Marnay, and Kristina Hamachi, "CERTS Customer Adoption Model," Lawrence Berkeley National Laboratory Report LBNL-47772, Berkeley, CA, USA (March 2001).
7. Siddiqui, Afzal S., Chris Marnay and Mark Khavkin, "Design of a CERTS Database," Lawrence Berkeley National Laboratory Report LBNL-45821, Berkeley, CA, USA (April 2000).
8. Gómez, Tomás, Chris Marnay, Afzal S. Siddiqui, Lucy Liew, and Mark Khavkin, "Ancillary Services Markets in California," Lawrence Berkeley National Laboratory Report LBNL-43986, Berkeley, CA, USA (July 1999).
Teaching
In 2012-2013, I will be on sabbatical leave for Term 1 and will not be teaching. Normally, I lecture Economics I (ECON1604) and Economics II (ECON2601) during Term 1, which focus on microeconomic theory.
Last updated on 3 April 2013
