Liquidity risks on power exchanges: a generalized Nash equilibrium model (Q368744): Difference between revisions

The authors consider the effect of limited liquidity in power exchange. They use a spatial stochastic equilibrium model for a financial market consisting of energy futures and financial transmission rights (FTRs) where agents can not hedge up to their desired level. The problem is formulated as a two-stage stochastic generalized Nash equilibrium with possibly multiple equilibria. For a large panel of solutions, the authors show how the risk premium and players profits are affected by illiquidity. Also it is shown that illiquidity in the FTR market affects the trades in the electricity futures markets.

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reviewed by

Pavel Stoynov

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zbMATH Keywords

power exchanges

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Nash equilibrium

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limited liquidity

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hedging

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10107-013-0694-4

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cites work

Existence of an Equilibrium for a Competitive Economy

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Coherent Measures of Risk

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Q3521355

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Q4821526

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A Social Equilibrium Existence Theorem*

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Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications

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Q2782354

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Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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Generalized Nash equilibrium problems

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Finite-Dimensional Variational Inequalities and Complementarity Problems

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Convex measures of risk and trading constraints

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Restricted generalized Nash equilibria and controlled penalty algorithm

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Generalized Nash games and quasi-variational inequalities

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Q3141900

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Continuous Auctions and Insider Trading

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Parametrized variational inequality approaches to generalized Nash equilibrium problems with shared constraints

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A two stage stochastic equilibrium model for electricity markets with two way contracts

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Financial transmission rights in convex pool markets.

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Existence and Uniqueness of Equilibrium Points for Concave N-Person Games

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Lectures on Stochastic Programming

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Identifiers

zbMATH Open document ID

1279.91093

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DOI

10.1007/s10107-013-0694-4

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:368744

@@ Property / review text @@
+The authors consider the effect of limited liquidity in power exchange. They use a spatial stochastic equilibrium model for a financial market consisting of energy futures and financial transmission rights (FTRs) where agents can not hedge up to their desired level. The problem is formulated as a two-stage stochastic generalized Nash equilibrium with possibly multiple equilibria. For a large panel of solutions, the authors show how the risk premium and players profits are affected by illiquidity. Also it is shown that illiquidity in the FTR market affects the trades in the electricity futures markets.
+Normal rank
@@ Property / reviewed by @@
+Pavel Stoynov
@@ Property / reviewed by: Pavel Stoynov / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B26
@@ Property / Mathematics Subject Classification ID: 91B26 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B76
@@ Property / Mathematics Subject Classification ID: 91B76 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+A10
@@ Property / Mathematics Subject Classification ID: 91A10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C33
@@ Property / Mathematics Subject Classification ID: 90C33 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B70
@@ Property / Mathematics Subject Classification ID: 91B70 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B72
@@ Property / Mathematics Subject Classification ID: 91B72 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6210566
@@ Property / zbMATH DE Number: 6210566 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+power exchanges
@@ Property / zbMATH Keywords: power exchanges / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Nash equilibrium
@@ Property / zbMATH Keywords: Nash equilibrium / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+limited liquidity
@@ Property / zbMATH Keywords: limited liquidity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+hedging
@@ Property / zbMATH Keywords: hedging / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10107-013-0694-4
+Normal rank
@@ Property / OpenAlex ID @@
+W1971321543
@@ Property / OpenAlex ID: W1971321543 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of an Equilibrium for a Competitive Economy
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q3521355
@@ Property / cites work: Q3521355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4821526
@@ Property / cites work: Q4821526 / rank @@
+Normal rank
@@ Property / cites work @@
+A Social Equilibrium Existence Theorem*
@@ Property / cites work: A Social Equilibrium Existence Theorem* / rank @@
+Normal rank
@@ Property / cites work @@
+Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
+Normal rank
@@ Property / cites work @@
+Q2782354
@@ Property / cites work: Q2782354 / rank @@
+Normal rank
@@ Property / cites work @@
+Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*
+Normal rank
@@ Property / cites work @@
+Co-Integration and Error Correction: Representation, Estimation, and Testing
+Normal rank
@@ Property / cites work @@
+Generalized Nash equilibrium problems
@@ Property / cites work: Generalized Nash equilibrium problems / rank @@
+Normal rank
@@ Property / cites work @@
+Finite-Dimensional Variational Inequalities and Complementarity Problems
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Restricted generalized Nash equilibria and controlled penalty algorithm
+Normal rank
@@ Property / cites work @@
+Generalized Nash games and quasi-variational inequalities
+Normal rank
@@ Property / cites work @@
+Q3141900
@@ Property / cites work: Q3141900 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
+Normal rank
@@ Property / cites work @@
+Parametrized variational inequality approaches to generalized Nash equilibrium problems with shared constraints
+Normal rank
@@ Property / cites work @@
+A two stage stochastic equilibrium model for electricity markets with two way contracts
+Normal rank
@@ Property / cites work @@
+Financial transmission rights in convex pool markets.
+Normal rank
@@ Property / cites work @@
+Existence and Uniqueness of Equilibrium Points for Concave N-Person Games
+Normal rank
@@ Property / cites work @@
+Lectures on Stochastic Programming
@@ Property / cites work: Lectures on Stochastic Programming / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:368744