Related papers: Automated Market Making for Energy Sharing
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
Automated market makers (AMMs) allocate fee revenue \textit{proportional} to the amount of liquidity investors deposit. In this paper, we study the economic consequences of the competition between passive liquidity providers (LPs) caused by…
We study a novel automated market maker design: the function maximizing AMM (FM-AMM). Our central assumption is that trades are batched before execution. Because of competition between arbitrageurs, the FM-AMM eliminates arbitrage profits…
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
Mechanism design is studied for aggregating renewable power producers (RPPs) in a two-settlement power market. Employing an indirect mechanism design framework, a payoff allocation mechanism (PAM) is derived from the competitive equilibrium…
We study an energy market composed of producers who compete to supply energy to different markets and want to maximize their profits. The energy market is modeled by a graph representing a constrained power network where nodes represent the…
The concept of Energy Hub (EH) has been emerged to accommodate renewable energy sources in a multi-energy system to deploy the synergies between electricity and other energy sources. However, the market mechanisms for the integration of the…
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…
This thesis develops equilibrium asset pricing models in incomplete markets with a large number of heterogeneous agents using mean field game theory. The market equilibrium is characterized by a novel form of mean field backward stochastic…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
With recent development of artificial intelligence, it is more common to adopt AI agents in economic activities. This paper explores the economic actions of agents, including human agents and AI agents, in an economic game of trading…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
With the rapid growth of Electric Vehicle (EV) technology, EVs are destined to shape the future of transportation. The large number of EVs facilitates the development of the emerging vehicle-to-grid (V2G) technology, which realizes…
We consider the market microstructure of automated market makers (AMMs) from the perspective of liquidity providers (LPs). Our central contribution is a ``Black-Scholes formula for AMMs''. We identify the main adverse selection cost…
This paper studies self-sustained dynamic multiagent systems (MAS) for decentralized resource allocation operating at a competitive equilibrium over a finite horizon. The utility of resource consumption, along with the income from resource…
Electric power distribution systems will encounter fluctuations in supply due to the introduction of renewable sources with high variability in generation capacity. It is therefore necessary to provide algorithms that are capable of…
We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…
In this paper, we investigate a practical demand side management scenario where the selfish consumers compete to minimize their individual energy cost through scheduling their future energy consumption profiles. We propose an instantaneous…
We develop a model for the industry dynamics in the electricity market, based on mean-field games of optimal stopping. In our model, there are two types of agents: the renewable producers and the conventional producers. The renewable…