Liquidity risks on power exchanges: a generalized Nash equilibrium model (Q368744): Difference between revisions
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Revision as of 21:55, 19 March 2024
scientific article
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| English | Liquidity risks on power exchanges: a generalized Nash equilibrium model |
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Liquidity risks on power exchanges: a generalized Nash equilibrium model (English)
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23 September 2013
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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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power exchanges
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Nash equilibrium
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limited liquidity
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hedging
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