Related papers: Strategic bidding via the interplay of minimum inc…

We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…

In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…

Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…

Probabilistic price forecasting has recently gained attention in power trading because decisions based on such predictions can yield significantly higher profits than those made with point forecasts alone. At the same time, methods are…

Probabilistic forecasting in combination with stochastic programming is a key tool for handling the growing uncertainties in future energy systems. Derived from a general stochastic programming formulation for the optimal scheduling and…

Models of auctions or tendering processes are introduced. In every round of bidding the players select their bid from a probability distribution and whenever a bid is unsuccessful, it is discarded and replaced. For simple models, the…

We show that filling an order with a large number of distinct counterparts incurs additional market impact, as opposed to filling the order with a small number of counterparts. For best execution, therefore, it may be beneficial to…

In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…

In this paper, we consider microgrids that interconnect prosumers with distributed energy resources and dynamic loads. Prosumers are connected through the microgrid to trade energy and gain profit while respecting the network constraints.…

A fundamental economic question is that of designing revenue-maximizing mechanisms in dynamic environments. This paper considers a simple yet compelling market model to tackle this question, where forward-looking buyers arrive at the market…

Recent regulation on intraday electricity markets has led to the development of shared order books with the intention to foster competition and increase market liquidity. In this paper, we address the question of the efficiency of such…

This paper proposes a novel method to generate bid bounds that can serve as offer caps for energy storage in electricity markets to help reduce system costs and regulate potential market power exercises. We derive the bid bounds based on a…

The paper is motivated by pricing decisions faced by forecourt fuel retailers across their outlets on a road network. Through our modelling approach we are able adapt the network structure to a bipartite graph with demand nodes representing…

Electricity markets currently fail to incorporate preferences of buyers, treating polluting and renewable energy sources as having equal social benefit under a system of uniform clearing prices. Meanwhile, renewable energy is prone to…

Although the specific structures of electricity markets are diverse around the world, they were all conceived on the premise of predictable, controllable generation with nonnegligible marginal costs. Recent changes, specifically, the…

As electricity consumption grows, reducing peak demand--the maximum load on the grid--has become critical for preventing infrastructure strain and blackouts. Pricing mechanisms that incentivize consumers with flexible loads to shift…

We study mechanisms that use greedy allocation rules and pay-your-bid pricing to allocate resources subject to a matroid constraint. We show that all such mechanisms obtain a constant fraction of the optimal welfare at any equilibrium of…

We analyze the problem of how to optimally bid for ad spaces in online ad auctions. For this we consider the general case of multiple ad campaigns with overlapping targeting criteria. In our analysis we first characterize the structure of…

In this paper, we develop a new method for finding an optimal biddingstrategy in sequential auctions, using a dynamic programming technique. Theexisting method assumes that the utility of a user is represented in anadditive form. Thus, the…

An existing challenge in power systems is the implementation of optimal demand management through dynamic pricing. This paper encompasses the design, analysis and implementation of a novel on-line pricing scheme based on coalitional game…