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We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...
Energy policy needs to rely on the proper understanding of the interactions between policy instruments, consumer preferences, investment behavior, market structure, electricity supply, and the wider policy environment. This asks for appropriate modeling to ...
In this paper one introduces the modeling of power flow constraints for transmission grid in the multi-sectoral multi-energy long-term investment planning tool ETEM-SG. This extension allows a better representation of demand response for flexible loads tri ...
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 ...
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 ...
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 ...
This paper proposes a pricing scheme for the day-ahead market in power systems with a large percentage of renewable stochastic production. To clear the day-ahead market, instead of a simplistic deterministic model, we use a two-stage stochastic programming ...
Electricity market liberalization is altering pricing mechanisms in wholesale electricity markets, which will affect the effectiveness of climate and energy policies. Models used to simulate such policies must be responsive to pricing rules. We show how th ...
Sharing markets create mutual insurance for consumers who are unsure about their future needs for goods, thus rendering products more valuable both before and after the purchase. By embedding intelligence in their products, enabling them to sense, monitor, ...
This paper presents a real-world application of stochastic programming in the Swiss hydro-based system. The seasonal hydrological conditions may cause insufficient market volume to an extent that security criteria (i.e., the criteria determining of reserve ...
