Composition of electricity generation portfolios, pivotal dynamics, and market prices

Management Science

Volumn 55, Issue 11, 2009, Pages 1813-1831

  Banal Estañol, Albert ^a,b   Micola, Augusto Rupérez ^b  

^a CITY UNIVERSITY   (United Kingdom)

^b DEPARTMENT OF ECONOMICS AND BUSINESS   (Spain)

Author keywords

Electricity; Market power; Simulations; Technology diversification

Indexed keywords

ELECTRICITY GENERATION; ELECTRICITY MARKET; MARKET PRICE; NON-LINEARITY; TECHNOLOGICAL DIVERSIFICATION; TECHNOLOGY DIVERSIFICATION; WHOLE SALE PRICES;

COMMERCE; COMPETITION; COSTS;

ELECTRIC GENERATORS;

EID: 73249118645     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1090.1067     Document Type: Article

References (62)

1. Arellano, S., P. Serra. 2007. A model of market power in electricity industries subject to peak load pricing. Energy Polic. 25 5130-5135.
2. Ausubel, L., P. Cramton. 2002. Demand reduction and inefficiency in multi-unit auctions. Working paper, Department of Economics, University of Maryland, College Park.
3. Baldick, R., W. Hogan. 2002. Capacity constrained supply function equilibrium models of electricity markets: Stability, non- decreasing constraints, and function space iterations. Working Paper PWP-089, Program on Workable Energy Regulation (POWER), University of California Energy Institute, Berkeley.
4. Baldick, R., S. Kolos, S. Tompaidis. 2006. Interruptible electricity contracts from an electricity retailer's point of view: Valuation and optimal interruption. Oper. Res. 54(4) 627-642.
5. Beggs, A. W. 2005. On the convergence of reinforcement learning. J. Econom. Theor. 122(1) 1-36.
6. Bolle, F. 1992. Supply function equilibria and the danger of tacit collusion: The case of spot markets for electricity. Energy Econom. 14(2) 94-102.
7. Borenstein, S., J. Bushnell, F. Wolak. 2002. Measuring market inefficiencies in California's restructured wholesale electricity market. Amer. Econom. Rev. 92(5) 1376-1405.
8. Borenstein, S., J. Bushnell, E. Kahn, S. Stoft. 1995. Market power in California electricity markets. Utilities Polic. 5(3-4) 219-236.
9. British Energy. 2006. Annual report. Accessed August 24, 2009, http:/ /www.british-energy.com/pagetemplate.php?pid=324.
10. Bunn, D. W., F. Oliveira. 2007. Agent-based analysis of technological diversification and specialization in electricity markets. Eur. J. Oper. Res. 181(3) 1265-1278.
11. Bushnell, J. 2003. A mixed complementarity model of hydrothermal electricity competition in the western United States. Oper. Res. 51(1) 80-93.
12. Bushnell, J. 2007. Oligopoly equilibria in electricity contract markets. J. Regulatory Econom. 32(3) 225-245.
13. Camerer, C., T. H. Ho. 1999. Experience-weighted attraction learning in normal form games. Econometric. 67(4) 827-874.
14. Cooper, D. J., D. DeJong, B. Forsythe, T. Ross. 1990. Alternative institutions for resolving coordination problems: Experimental evidence on forward induction and preplay communication. J. Friedman, ed. Problems of Coordination in Economic Activity. Kluwer, Dordrecht, The Netherlands, 11-32.
15. Crawford, G. S., J. Crespo, H. V. Tauchen. 2006. Bidding asymmetries in multi-unit auctions: Implications of bid function equilibria in the British spot market for electricity. Working paper, University of Arizona, Tucson.
16. Crawford, V. P., U. Gneezy, Y. Rottenstreich. 2008. The power of focal points is limited: Even minor payoff asymmetry yields massive coordination failures. Amer. Econom. Rev. 98 1443-1458.
17. Day, C., D. Bunn. 1999. Divestiture of generation assets in the electricity pool of England and Wales: A computational approach to analyzing market power. J. Regulatory Econom. 19(2) 123-141.
18. Entriken, R., S. Wan. 2005. Agent-based simulation of an automatic mitigation procedure. Proc. 38th Ann. Hawaii Internat. Conf. System Sci.. IEEE Computer Society, Washington, DC.
19. Erev, I., E. Haruvy. 2001. Variable pricing: A customer learning perspective. Working paper, Columbia Business School, New York.
20. Fabra, N., J. Toro. 2005. Price wars and collusion in the spanish electricity market. Internat. J. Indust. Organ. 23 155-181.
21. Fabra, N., N.-H. von der Fehr, D. Harbord. 2006. Designing electricity auctions. RAND J. Econom. 37(1) 23-46.
22. Fama, E. F., J. D. MacBeth. 1973. Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3) 607-636.
23. Fudenberg, D., D. Levine. 1998. The Theory of Learning in Games. MIT Press, Cambridge, MA.
24. Garcia, A., E. Campos-Nañez, J. Reitzes. 2005. Dynamic pricing and learning in electricity markets. Oper. Res. 53(2) 231-241.
25. Genc, T., S. S. Reynolds. 2005. Supply function equilibria with pivotal electricity suppliers. Working paper, University of Guelph, Guelph, ON, Canada.
26. Gombay, E., L. Horvath, M. Huskova. 1996. Estimators and tests for change in variances. Statist. Decision. 14 145-159.
27. Green, R., D. Newbery. 1992. Competition in the British electricity spot market. J. Political Econom. 100 929-953.
28. Haruvy, E., D. O. Stahl. 2004. Deductive versus inductive equilibrium selection: Experimental results. J. Econom. Behav. Organ. 53 319-331.
29. Holmberg, P. 2007. Supply function equilibrium with asymmetric capacities and constant marginal costs. Energy J. 28(2) 55-82.
30. Holmberg, P. 2008. Unique supply function equilibrium with capacity constraints. Energy Econom. 30(1) 148-172.
31. Hopkins, E. 2007. Adaptive learning models of consumer behavior. J. Econom. Behav. Organ. 64(3-4) 348-368.
32. Iriberri, N. 2006. The dynamics of coordination rates in experimental battle of the sexes game. Working paper, University of California, San Diego, La Jolla.
33. Jensen, J. 2003. The LNG revolution. Energy J. 24(2) 1-45.
34. Joskow, P., E. Kahn. 2002. Quantitative analysis of pricing behavior in California's electricity market during summer 2000. Energy J. 23(4) 1-35.
35. Karakatsani, N., D. Bunn. 2004. Modelling stochastic volatility in high-frequency spot electricity prices. Working paper, Energy Markets Group, London Business School, London.
36. Klemperer, P., M. Meyer. 1989. Supply function equilibria in oligopoly under uncertainty. Econometric. 57 1243-1277.
37. Mansur, E. 2007. Upstream competition and vertical integration in electricity markets. J. Law Econom. 50(1) 125-156.
38. Mason, D. M., J. H. Schuenemeyer. 1983. A modiffied Kolmogorov- Smirnov test sensitive to tail alternatives. Ann. Statist. 11(3) 933-946.
39. Morlok, E., B. Nitzberg, K. Balasubramaniam. 2000. The parcel service industry in the U.S.: Its size and role in commerce. Working paper, University of Pennsylvania, Philadelphia.
40. Newbery, D. 1991. Capacity-constrained supply function equilibria: Competition and entry in the electricity spot market. Working paper, University of Cambridge, Cambridge, UK.
41. Newbery, D. 1997. Privatisation and liberalisation of network utilities. Eur. Econom. Rev. 41(3) 357-383.
42. Nicolaisen, J., V. Petrov, L. Tesfatsion. 2001. Market power and efficiency in a computational electricity market with discriminatory double-auction. IEEE Trans. Evolutionary Comput. 5(5) 504-523.
43. Orasch, M. R. 1999. On detecting multiple changes. Working paper, Laboratory for Research in Statistics and Probability, Carleton University, Ottawa, ON.
44. Orasch, M. R., W. Pouliot. 2004. Tabulating weighted sup-norm functionals used in change-point analysis. J. Statist. Comput. Simulatio. 74 249-276.
45. Perekhodtsev, D., L. B. Lave, S. Blumsack. 2002. The model of pivotal oligopoly applied to electricity markets. Working Paper 02-06, Carnegie Mellon Electricity Industry Center, Pittsburgh.
46. PG&E Corporation. 2006. Annual report. Accessed August 24, 2009, http:/ /www.pgecorp.com/investors/pdfs/2006AnnualReport. pdf.
47. Pouliot, W. 2008. Multiple change-point detection in linear regression models via U-statistic based process. Mimeo, City University London, Northampton Square, London.
48. Puller, S. 2007. Pricing and firm conduct in California's deregulated electricity market. Rev. Econom. Statist. 89(1) 75-87.
49. Roth, A., I. Erev. 1995. Learning in extensive-form games: Experimental data and simple dynamic models in the intermediate term. Games Econom. Behav. 8. 164-212.
50. Rudkevich, A., M. Duckworth, R. Rosen. 1998. Modeling electricity pricing in a deregulated generation industry: The potential for oligopoly pricing in a Poolco. Energy J. 19(3) 19-48.
51. Rupérez Micola, A., D. W. Bunn. 2008. Crossholdings, information, and prices in capacity constrained sealed bid-offer auctions. J. Econom. Behav. Organ. 66(3-4) 748-766.
52. Rupérez Micola, A., A. Banal-Estanol, D. W. Bunn. 2008. Incentives and coordination in vertically related energy markets. J. Econom. Behav. Organ. 67(2) 381-393.
53. Sandholm, W. 2002. Evolutionary implementation and congestion pricing. Rev. Econom. Stud. 69(3) 667-689.
54. Stoft, S. 2002. Power System Economics: Designing Markets for Electricity. Wiley, New York.
55. Sun, J., L. Tesfatsion. 2007. Dynamic testing of wholesale power market designs: An open-source agent-based framework. Com- put. Econom. 30(3) 291-327.
56. Van Huyck, J. B., R. C. Battalio, R. O. Beil. 1990. Tacit coordination games, strategic uncertainty, and coordination failure. Amer. Econom. Rev. 80(1) 234-248.
57. von der Fehr, N., D. Harbord. 1993. Spot market competition in the UK electricity industry. Econom. J. 103(418) 531-546.
58. von der Fehr, N., D. Harbord. 1998. Competition in Electricity Spot Markets: Economic Theory and International Experience. Memorandum in Economics 5, University of Oslo, Oslo, Norway.
59. Veit, D., A. Weidlich, J. Yao, S. Oren. 2006. Simulating the dynamics in two-settlement electricity markets via an agent-based approach. Internat. J. Management Sci. Engrg. Managemen. 1(2) 83-97.
60. Wolak, F. A., R. H. Patrick. 1997. The impact of market rules and market structure on the price determination process in the England and Wales electricity market. Working Paper PWP-047, Program on Workable Energy Regulation (POWER), University of California Energy Institute, Berkeley.
61. Wolfram, C. 1998. Strategic bidding in a multiunit auction: An empirical analysis of bids to supply electricity in England and Wales. RAND J. Econom. 29(4) 703-725.
62. Wolfram, C. 1999. Measuring duopoly power in the British electricity spot market. Amer. Econom. Rev. 89(4) 805-826.