Related papers: Strategic bidding via the interplay of minimum inc…
Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…
The implementation of electricity markets based on locational marginal pricing in a multi-settlement process has allowed wholesale competition, with pricing mechanisms that incentivize the optimal allocation of generation, transmission, and…
How does competition in markets for information affect the creation and division of surplus? We study this question in a search environment in which an agent searches sequentially for a high-quality good and learns about the quality of…
When the traded energy and reserve products between zones are co-allocated to optimize the infrastructure usage, both deterministic and stochastic flows have to be accounted for on interconnector lines. We focus on allocation models, which…
Wind power producers (WPPs) participating in short-term power markets face significant imbalance costs due to their non-dispatchable and variable production. While some WPPs have a large enough market share to influence prices with their…
This paper proposes a market clearing mechanism for energy trading in a local transactive market, where each player can participate in the market as seller or buyer and tries to maximize its welfare individually. Market players send their…
Electricity markets are experiencing a rapid increase in energy storage unit participation. Unlike conventional generation resources, quantifying the competitive operation and identifying if a storage unit is exercising market power is…
There is an intrinsic value in higher integration of multi-carrier energy systems (especially gas and electricity), to increase operational flexibility in the electricity system and to improve allocation of resources in gas and electricity…
The large integration of variable energy resources is expected to shift a large part of the energy exchanges closer to real-time, where more accurate forecasts are available. In this context, the short-term electricity markets and in…
In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing.…
This paper considers a real-time electricity market involving an independent system operator (ISO) and a group of strategic generators. The ISO operates a market where generators bid prices at which there are willing to provide power. The…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper wants to go further in designing a periodic auction when…
The participation of electric vehicle (EV) aggregators in real-time electricity markets offers promising revenue opportunities through price-responsive energy arbitrage. A central challenge in economic bidding lies in quantifying the…
The electricity industry has been one of the first to face technological changes motivated by sustainability concerns. Whilst efficiency aspects of market design have tended to focus upon market power concerns, the new policy challenges…
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…
This paper develops algorithms to solve strong-substitutes product-mix auctions. That is, it finds competitive equilibrium prices and quantities for agents who use this auction's bidding language to truthfully express their…
Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…
We study the power of price discrimination via an intermediary in bilateral trade, when there is a revenue-maximizing seller selling an item to a buyer with a private value drawn from a prior. Between the seller and the buyer, there is an…
As the number of prosumers with distributed energy resources (DERs) grows, the conventional centralized operation scheme may suffer from conflicting interests, privacy concerns, and incentive inadequacy. In this paper, we propose an energy…