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Robust trading in spot and forward oligopolistic markets

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  • Gülpınar, N.
  • Oliveira, F.S.

Abstract

In this article we consider the interaction between forward and spot prices and analyze trading in oligopolistic markets under uncertainty. We extend the two-stage risk-neutral stochastic model to worst-case analysis with rival demand scenarios. At the methodological level we develop a robust analysis in oligopolies and derive analytical results on the impact of demand uncertainty on the oligopolies' behavior when using robust optimal strategies. We compare the performance of robust optimization with the cases of no uncertainty and risk-neutral uncertainty. We show that under robust oligopolies the firms tend to produce more and to trade more in the forward markets, moreover, under robust optimization market prices are lower.

Suggested Citation

  • Gülpınar, N. & Oliveira, F.S., 2012. "Robust trading in spot and forward oligopolistic markets," International Journal of Production Economics, Elsevier, vol. 138(1), pages 35-45.
  • Handle: RePEc:eee:proeco:v:138:y:2012:i:1:p:35-45
    DOI: 10.1016/j.ijpe.2011.12.005
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    Cited by:

    1. Inderfurth, Karl & Kelle, Peter & Kleber, Rainer, 2013. "Dual sourcing using capacity reservation and spot market: Optimal procurement policy and heuristic parameter determination," European Journal of Operational Research, Elsevier, vol. 225(2), pages 298-309.
    2. Rainer Kleber & Karl Inderfurth & Peter Kelle, 2014. "Combined sourcing and inventory management using capacity reservation and spot market," FEMM Working Papers 140005, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    3. Oliveira, Fernando S., 2017. "Strategic procurement in spot and forward markets considering regulation and capacity constraints," European Journal of Operational Research, Elsevier, vol. 261(2), pages 540-548.
    4. Oliveira, Fernando S. & Ruiz, Carlos & Conejo, Antonio J., 2013. "Contract design and supply chain coordination in the electricity industry," European Journal of Operational Research, Elsevier, vol. 227(3), pages 527-537.
    5. N. Gülpınar & F. Oliveira, 2014. "Analysis of relationship between forward and spot markets in oligopolies under demand and cost uncertainties," Computational Management Science, Springer, vol. 11(3), pages 267-283, July.
    6. Bunn, Derek W. & Oliveira, Fernando S., 2016. "Dynamic capacity planning using strategic slack valuation," European Journal of Operational Research, Elsevier, vol. 253(1), pages 40-50.

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