Advanced Search
MyIDEAS: Login

Optimal bidding strategies on the power market based on the stochastic models

Contents:

Author Info

  • Magdalena Weglarz
  • Agnieszka Wylomanska

Abstract

In this paper we concentrate on power producers’ strategies on the electricity market with contracts and Asian-type call options for power delivery. We propose stochastic asymmetric supply function equilibrium and Cournot models that are based on the assumption of the stochastic behavior of electricity prices. We demonstrate how in this stochastic case the considered derivatives influence on the power producers’ profits. In order to demonstrate theoretical results to the analysis we use the real electricity prices.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_10_06.pdf
File Function: Original version, 2010
Download Restriction: no

Bibliographic Info

Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/10/06.

as in new window
Length: 8 pages
Date of creation: 2010
Date of revision:
Publication status: Published in the Proceedings of the Modern Electric Power Systems MEPS'10 International Symposium, September 20-22, 2010, Wroc³aw, Poland.
Handle: RePEc:wuu:wpaper:hsc1006

Contact details of provider:
Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw
Phone: +48-71-3203530
Fax: +48-71-3202654
Email:
Web page: http://prac.im.pwr.wroc.pl/~hugo
More information through EDIRC

Related research

Keywords: Power market; Supply function equilibrium; Cournot model; option for power delivery;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Ross Baldick & Ryan Grant & Edward Kahn, 2004. "Theory and Application of Linear Supply Function Equilibrium in Electricity Markets," Journal of Regulatory Economics, Springer, vol. 25(2), pages 143-167, 03.
  2. Klemperer, Paul D & Meyer, Margaret A, 1989. "Supply Function Equilibria in Oligopoly under Uncertainty," Econometrica, Econometric Society, vol. 57(6), pages 1243-77, November.
  3. Green, Richard, 1999. "The Electricity Contract Market in England and Wales," Journal of Industrial Economics, Wiley Blackwell, vol. 47(1), pages 107-24, March.
  4. Magdalena Borgosz-Koczwara & Aleksander Weron & Agnieszka Wyłomańska, 2009. "Stochastic models for bidding strategies on oligopoly electricity market," Computational Statistics, Springer, vol. 69(3), pages 579-592, July.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wuu:wpaper:hsc1006. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.