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We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochasti ...
Energy market liberalization is changing pricing mechanisms for wholesale electricity. This work shows that it is essential to appreciate and mirror these changes in the modeling of electricity markets for policy assessment. We develop a framework composed ...
We study the effect of Demand-Response (DR) in dynamic real-time electricity markets. We use a two-stage market model that takes into account the dynamical aspects of generation, demand, and DR. We study the real-time market prices in two scenarios: in the ...
The Swiss Energy Strategy 2050 pursues an ambitious transition to a more renew- able and efficient energy future, combining CO2 and energy saving targets with a phase-out of nuclear electricity generation. This transition poses challenges not only for the ...
This article describes how prices are treated in economic theory. Section 17.2 begins by introducing the concepts of ‘rational preference’ and ‘utility function’, which are standard building blocks of models that attempt to explain choice behaviour. Sectio ...
A climate treaty like the one which should replace the Kyoto Protocol after 2012, may have important impacts on the oil, gas and coal markets. The full impact of such a treaty will not be felt before 2030. In this paper one uses a computable general equili ...
We study the effect of energy-storage systems in dynamic real-time electricity markets. We consider that demand and renewable generation are stochastic, that real-time production is affected by ramping constraints, and that market players seek to selfishly ...
For some time, regulatory reforms in Europe have aimed at electricity market liberalisation. One of the many consequences is that increasingly spot market transactions replace long- term contracts, thus redefining the way wholesale electricity prices are f ...
We study the effect of energy-storage systems in dynamic real-time electricity markets. We consider that demand and renewable generation are stochastic, that real-time production is affected by ramping constraints, and that market players seek to selfishly ...
Auctions are widely used on the Web. Applications range from internet advertising to platforms such as eBay. In most of these applications the auctions in use are single/multi-item auctions with unit demand. The main drawback of standard mechanisms for thi ...