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A stochastic generalized Nash-Cournot model for the northwestern European natural gas markets with a fuel substitution demand function: The S-GaMMES model

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  • Ibrahim Abada

    (EDF Research and Development, IFP Energies nouvelles and EconomiX-CNRS, University of Paris 10, France)

Abstract

This article presents a stochastic dynamic Generalized Nash-Cournot model to describe the evolution of the natural gas markets. The major gas chain players are depicted including: producers, consumers, storage, and pipeline operators, as well as intermediate local traders. Our economic structure description takes into account market power and the demand representation tries to capture the possible fuel substitution that can be made between the consumption of oil, coal, and natural gas in the overall fossil energy consumption. The demand is made random because of the oil price fluctuations. We take into account the long-term aspects inherent to some markets, in an endogenous way. This particularity of our description makes the model a Generalized Nash Equilibrium problem that needs to be solved using specialized mathematical techniques. The model has been applied to represent the European natural gas market and to forecast, until 2035, after a calibration process, consumption, prices, production, and long-term contract prices and volumes. Finally, we defined and calculated the value of stochastic solution adapted to our model.

Suggested Citation

  • Ibrahim Abada, 2012. "A stochastic generalized Nash-Cournot model for the northwestern European natural gas markets with a fuel substitution demand function: The S-GaMMES model," Working Papers 1202, Chaire Economie du climat.
  • Handle: RePEc:cec:wpaper:1202
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    File URL: http://www.chaireeconomieduclimat.org/RePEc/cec/wpaper/12-01_WP_2012-02_Abada.pdf
    File Function: First version, 2012
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    References listed on IDEAS

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    Cited by:

    1. Egging, Ruud & Holz, Franziska, 2016. "Risks in global natural gas markets: Investment, hedging and trade," Energy Policy, Elsevier, vol. 94(C), pages 468-479.
    2. Egging, Ruud & Pichler, Alois & Kalvø, Øyvind Iversen & Walle–Hansen, Thomas Meyer, 2017. "Risk aversion in imperfect natural gas markets," European Journal of Operational Research, Elsevier, vol. 259(1), pages 367-383.
    3. Mel Devine & James Gleeson & John Kinsella & David Ramsey, 2014. "A Rolling Optimisation Model of the UK Natural Gas Market," Networks and Spatial Economics, Springer, vol. 14(2), pages 209-244, June.
    4. repec:eee:energy:v:134:y:2017:i:c:p:984-990 is not listed on IDEAS

    More about this item

    Keywords

    Energy markets modeling; Game theory; Generalized Nash-Cournot equilibria; Quasi-Variational Inequality; Equilibrium problems; Stochastic programing.;

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