Liquidity risks on power exchanges: a generalized Nash equilibrium model
DOI10.1007/S10107-013-0694-4zbMATH Open1279.91093OpenAlexW1971321543MaRDI QIDQ368744FDOQ368744
Authors: Gauthier de Maere d'Aertrycke, Yves Smeers 
Publication date: 23 September 2013
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-013-0694-4
Recommendations
- Equilibrium price in intraday electricity markets
- A generalized Nash equilibrium model of market coupling in the European power system
- Equilibrium values in a competitive power exchange market
- A two stage stochastic equilibrium model for electricity markets with two way contracts
- Price formation and optimal trading in intraday electricity markets
Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Noncooperative games (91A10) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Stochastic models in economics (91B70) Spatial models in economics (91B72)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- A Social Equilibrium Existence Theorem*
- A two stage stochastic equilibrium model for electricity markets with two way contracts
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Coherent measures of risk
- Continuous Auctions and Insider Trading
- Convex measures of risk and trading constraints
- Existence and Uniqueness of Equilibrium Points for Concave N-Person Games
- Existence of an Equilibrium for a Competitive Economy
- Financial transmission rights in convex pool markets.
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
- Generalized Nash equilibrium problems
- Generalized Nash games and quasi-variational inequalities
- Lectures on Stochastic Programming
- Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*
- Parametrized variational inequality approaches to generalized Nash equilibrium problems with shared constraints
- Restricted generalized Nash equilibria and controlled penalty algorithm
- Stochastic modeling of electricity and related markets.
Cited In (5)
- Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling
- Risk trading and endogenous probabilities in investment equilibria
- Dynamic risked equilibrium
- Title not available (Why is that?)
- On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach
This page was built for publication: Liquidity risks on power exchanges: a generalized Nash equilibrium model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q368744)
