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Due to its theoretical virtues, several recent works propose the use of the incentive-compatible Vickrey-Clarke-Groves (VCG) mechanism for electricity markets. Coalitions of participants, however, can influence the VCG outcome to obtain higher collective u ...
In a power grid, the electricity supply and demand must be balanced at all times to maintain the system's frequency. In practice, the grid operator achieves this balance by procuring frequency reserves in an ahead-of-time market setting. During runtime, th ...
Stochastic optimization is a popular modeling paradigm for decision-making under uncertainty and has a wide spectrum of applications in management science, economics and engineering. However, the stochastic optimization models one faces in practice are int ...
This thesis consists of three parts that study separate subjects in corporate finance and corporate governance. The overarching theme is ownership by CEOs and other insiders.In the first part, which is co-authored work with Rüdiger Fahlenbrach, René M. ...
The establishment of a single European day-ahead market has accomplished the integration of the regional day-ahead markets. However, the reserves provision and activation remain an exclusive responsibility of regional operators. This limited spatial coordi ...
Switzerland is considering implementing a strategic energy reserve, a novel policy instrument that remunerates power plant operators for storing a minimum amount of energy in reservoirs to convert into electricity when called upon. The policy is envisioned ...
Negative interest rate regimes typically involve reserve tiering to exempt a portion of bank reserves from negative rates. We study the effects on bank behavior of a large and unanticipated change in reserve tiering by the Swiss National Bank that generate ...
This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...
The establishment of a single European day-ahead market has accomplished the integration of the regional day-ahead markets. However, reserve provision and activation remain an exclusive responsibility of regional operators. This limited spatial coordinatio ...
This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
