Supply function equilibria for uniform price auction in oligopolistic markets

Date

2016-12-01

Author

Vasin, Alexander
Dolmatova, Marina
Weber, Gerhard Wilhelm

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

117
views

0
downloads

We consider game-theoretic models related to the supply function auction for electricity markets. We determine the set of supply function equilibria (SFE), introduced by Klemperer and Mayer (Econometrica 57:1243-1277, 1989), for a symmetric oligopoly with linear demand, fixed marginal cost and capacity constraint. This set depends on the maximum random shock of the demand function. We also study the best response dynamics and show that in general it does not converge to any SFE. We find out sufficient conditions for the convergence and conclude on the optimal parameters of the auction

Subject Keywords

Best response dynamics, Wholesale electricity market, Oligopoly, Auctions

URI

https://hdl.handle.net/11511/52217

Journal

CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH

DOI

https://doi.org/10.1007/s10100-015-0390-y

Collections

Graduate School of Applied Mathematics, Article

Suggestions

OpenMETU
Core

Stochastic multifactor modeling of spot electricity prices Hayfavi, Azize (2014-03-15) In this paper, a stochastic multifactor model is proposed for modeling of the daily spot market electricity prices. Stochastic part of the model is composed of three jump processes and a Brownian motion where two of the jump processes are assumed to be mean reverting with different mean reversion rates. The multistep algorithm proposed for model estimation utilizes an iterative threshold function (constructed on GARCH(1,1) volatility estimates) in separation of the jumps. The factor model is applied to Turk...
Collaboration and competition in presence of imperfect information and non-linear pricing Karabaş, Şükriye; Savaşaneril Tüfekci, Seçil; Department of Industrial Engineering (2012) In this thesis, a market is assumed with n competing buyers where price is an inverse linear function of the quantity supplied to the market. The buyers get engaged in Cournot competition, but may also collaborate on purchasing decisions from a supplier. The supplier offers a quantity discount, as the quantity purchased increases unit price decreases. Furthermore, the demand base in the market is uncertain, but the buyers may get a signal of the demand. In this setting, the value of collaboration, informati...
Stock mechanics: A general theory and method of energy conservation with applications on DJIA Tuncay, Çağlar (World Scientific Pub Co Pte Lt, 2006-11-01) A new method, based on the original theory of conservation of sum of kinetic and potential energy defined for prices is proposed and applied on the Dow Jones Industrials Average (DJIA). The general trends averaged over months or years gave a roughly conserved total energy, with three different potential energies, i.e., positive definite quadratic, negative definite quadratic and linear potential energy for exponential rises (and falls), sinusoidal oscillations and parabolic trajectories, respectively. Corre...
A deterministic inventory/production model with general inventory cost rate function and piecewise linear concave production costs Bayındır, Zeynep Pelin; Frenk, J. B. G. (Elsevier BV, 2007-05-16) We present a thorough analysis of the economic production quantity model with shortages under a general inventory cost rate function and piecewise linear concave production costs. Consequently, an effective solution procedure, particularly useful for an approximation scheme, is proposed. A computational study is appended to illustrate the performance of the proposed solution procedure.
Monotonicity of Liquidity sensitive Option Prices with respect to Market Liquidity Parameters Kuş, Selin Özlem; Sezer, Ali Devin; Department of Financial Mathematics (2022-2-18) Classical option pricing models assume that market prices of traded securities are given and independent of the actions of the traders. Recently, a number of option pricing models emerged where the impact of hedging transactions on prices of the traded securities is also taken into account in the pricing of the option. In this term project we study one of these models proposed by Gueant and Pu that is based on the optimal liquidation framework of Almgren and Chriss. The model includes the price impact of th...

Citation Formats

A. Vasin, M. Dolmatova, and G. W. Weber, “Supply function equilibria for uniform price auction in oligopolistic markets,” CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH, pp. 819–831, 2016, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/52217.