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Insider Trading, Stochastic Liquidity, And Equilibrium Prices

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Uniqueness of equilibrium in a payment system with liquidation costs

Damir Filipovic, Léo Hamed Amini

We study a financial network where forced liquidations of an illiquid asset have a negative impact on its price, thus reinforcing network contagion. We give conditions for uniqueness of the clearing asset price and liability payments. Our main result holds ...

Elsevier Science Bv2016

Optimal Retail in a Sharing Economy

Thomas Alois Weber

The emerging sharing economy is fueled by products that some consumers buy new. This paper introduces an overlapping-generations model to analyze consumers’ consumption choices and the equilibrium in the sharing market. We derive a retailer’s optimal prici ...

2015

Arbitraging Intraday Wholesale Energy Market Prices With Aggregations of Thermostatic Loads

Maryam Kamgarpour, John Lygeros

We investigate the potential for aggregations of residential thermostatically controlled loads (TCLs), such as air conditioners, to arbitrage intraday wholesale electricity market prices via non-disruptive load control. We present two arbitrage approaches: ...

2015

We consider dynamic random walks where the nearest neighbour jump rates are determined by an underlying supercritical contact process in equilibrium. This has previously been studied by den Hollander and dos Santos (arXiv: 1209.1511). We show the CLT for s ...

Univ Washington, Dept Mathematics2015

Dividend Dynamics and the Term Structure of Dividend Strips

Pierre Collin Dufresne

Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to divid ...

Wiley-Blackwell2015

Impact of Demand-Response on the Efficiency and Prices in Real-Time Electricity Markets

Jean-Yves Le Boudec, Dan-Cristian Tomozei, Nicolas Gabriel Gast

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 ...

-2014

Impact of demand-response on the efficiency and prices in real-time electricity markets

Jean-Yves Le Boudec, Dan-Cristian Tomozei, Nicolas Gabriel Gast

ACM Press2014

Estimation of bid functions for location choice and price modeling with a latent variable approach

Michel Bierlaire, Ricardo Daniel Hurtubia González

A new approach for the estimation of bid-rent functions for residential location choice is proposed. The method is based on the bid-auction approach and considers that the expected maximum bid of the auction is a latent variable that can be related to obse ...

Springer2014

This paper discusses the interactive design exploration of static equilibria using constraint-based graphic statics. Constraint-based graphic statics is a computerized framework improving the construction, the control and the capabilities of classical grap ...

Riverside Architectural Press2014

Impact of Storage on the Efficiency and Prices in Real-Time Electricity Markets

Jean-Yves Le Boudec, Dan-Cristian Tomozei, Nicolas Gabriel Gast

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 ...

2013