IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Stochastic models for bidding strategies on oligopoly electricity market

Listed author(s):
  • Magdalena Borgosz-Koczwara

    ()

  • Aleksander Weron

    ()

  • Agnieszka Wyłomańska

    ()

In this paper we consider the forward/futures contracts and Asian-type call options for power delivery as important components of the bidding strategies of the players’ profits on the electricity market. We show how these derivatives can affect their profit. We use linear asymmetric supply function equilibrium (SFE) and Cournot models to develop firms’ optimal bidding strategies by including forward/futures contracts and Asian-type options. We extend the methodology proposed by Niu et al. (IEEE Trans Power Syst 20(4):1859–1867, 2005), where only forward contracts for power delivery were considered in the SFE model. Copyright Springer-Verlag 2009

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://hdl.handle.net/10.1007/s00186-008-0252-7
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Springer & Gesellschaft für Operations Research (GOR) & Nederlands Genootschap voor Besliskunde (NGB) in its journal Mathematical Methods of Operations Research.

Volume (Year): 69 (2009)
Issue (Month): 3 (July)
Pages: 579-592

as
in new window

Handle: RePEc:spr:mathme:v:69:y:2009:i:3:p:579-592
DOI: 10.1007/s00186-008-0252-7
Contact details of provider: Web page: http://www.springer.com

Web page: https://gor.uni-paderborn.de/index.php?id=7

Web page: http://www.ngb-online.nl/

Order Information: Web: http://www.springer.com/economics/journal/00186

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, March.
  2. repec:dau:papers:123456789/607 is not listed on IDEAS
  3. Green, Richard, 1999. "The Electricity Contract Market in England and Wales," Journal of Industrial Economics, Wiley Blackwell, vol. 47(1), pages 107-124, March.
  4. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
  5. Klemperer, Paul D & Meyer, Margaret A, 1989. "Supply Function Equilibria in Oligopoly under Uncertainty," Econometrica, Econometric Society, vol. 57(6), pages 1243-1277, November.
  6. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
Full references (including those not matched with items on IDEAS)

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

When requesting a correction, please mention this item's handle: RePEc:spr:mathme:v:69:y:2009:i:3:p:579-592. 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: (Sonal Shukla)

or (Rebekah McClure)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.