Vazquez, Miguel and Barquín, Julián (2009): Representing the effects of oligopolistic competition on riskneutral prices in power markets.
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Abstract
Forward transactions are becoming increasingly important in most of electricity markets. In this view, this paper develops a methodology able to capture the complexities of power markets and incorporate them into the framework of riskneutral probabilities. This is done by the statement of a model that split up the power price dynamics into two different components: on the one hand, a component aimed at representing costs and market power, which will be based on a static, noncooperative game; on the other,a component representing shortterm deviations from the static model.
Item Type:  MPRA Paper 

Original Title:  Representing the effects of oligopolistic competition on riskneutral prices in power markets 
Language:  English 
Keywords:  power markets; pricing models; market power; longterm/shortterm decomposition 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models L  Industrial Organization > L1  Market Structure, Firm Strategy, and Market Performance > L13  Oligopoly and Other Imperfect Markets Q  Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4  Energy > Q40  General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General G  Financial Economics > G1  General Financial Markets > G13  Contingent Pricing ; Futures Pricing C  Mathematical and Quantitative Methods > C7  Game Theory and Bargaining Theory > C72  Noncooperative Games 
Item ID:  43079 
Depositing User:  Miguel Vázquez 
Date Deposited:  08 Jan 2013 14:07 
Last Modified:  27 Sep 2019 08:06 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/43079 
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A fundamental power price model with oligopolistic competition representation. (deposited 10 Jun 2009 06:12)
 Representing the effects of oligopolistic competition on riskneutral prices in power markets. (deposited 08 Jan 2013 14:07) [Currently Displayed]