scholarly journals Pricing Average Price Advertising Options When Underlying Spot Market Prices Are Discontinuous

2019 ◽  
Vol 31 (9) ◽  
pp. 1765-1778 ◽  
Author(s):  
Bowei Chen ◽  
Mohan Kankanhalli
Keyword(s):  
Spot Market ◽  
Average Price ◽  
Market Prices ◽  
Price Advertising

Principal Trading Arrangements: When Are Common Contracts Optimal?

2021 ◽  
Author(s):  
Markus Baldauf ◽  
Christoph Frei ◽  
Joshua Mollner
Keyword(s):  
Weighted Average ◽  
Principal Agent ◽  
Financial Contracting ◽  
Average Price ◽  
Market Prices ◽  
Principal Agent Problem ◽  
Financial Arrangements

Many financial arrangements reference market prices that are yet to be realized at the time of contracting and consequently susceptible to manipulation. Two of the most common such arrangements are as follows: (i) guaranteed volume-weighted average price (VWAP) contracts, which reference the VWAP prevailing over an execution window, and (ii) market-on-close contracts, which reference the price prevailing at the window’s end. To study such situations, we introduce a stylized model of financial contracting between a client, who wishes to trade a large position, and the client’s dealer. We provide conditions under which guaranteed VWAP contracts are optimal in this principal-agent problem. In contrast, market-on-close contracts generally cannot be optimal. These results explain the use of guaranteed VWAP contracts in practice, question the use of market-on-close contracts, and suggest considerations for the design of financial benchmarks. This paper was accepted by Haoxiang Zhu, finance.

scholarly journals Financial Control in the Transition from Classical Socialism to a Market Economy

1991 ◽  
Vol 5 (4) ◽  
pp. 107-122 ◽  
Author(s):  
Ronald I McKinnon
Keyword(s):  
Decision Making ◽  
Soviet Union ◽  
Market Economy ◽  
Financial Management ◽  
Price Level ◽  
Financial Control ◽  
Average Price ◽  
Market Prices ◽  
Goods And Services ◽  
The Soviet Union

The transition from socialism to capitalism poses severe problems of financial management that have yet to be resolved in principle, let alone in practice. One unfortunate consequence is continual financial turmoil as socialist economies of the Soviet Union and Eastern Europe attempt reform. Inflation, either open or repressed, first accompanies and then undermines attempts to decentralize decision-making. But why should the transition from central planning to a market economy be inflationary? Understanding the system of financial control in the preexisting regime of “classical” socialism is the key to understanding what might go wrong in the transition. I discuss how in a more deliberate transition, domestic tax and monetary arrangements might be managed to keep the average price level stable as the market prices of individual goods and services become free to fluctuate, and suggest complementary policies governing tariffs and foreign exchange convertability in the move toward free foreign trade.

scholarly journals Comparison of flexibility factors for a residential building

2021 ◽  
Vol 2042 (1) ◽  
pp. 012036
Author(s):  
Monika Hall ◽  
Achim Geissler
Keyword(s):  
Heat Pump ◽  
Residential Building ◽  
Spot Market ◽  
Load Control ◽  
Apartment Building ◽  
Electricity Prices ◽  
Market Prices ◽  
Pump Operation ◽  
Operation Period ◽  
Calculation Methodology

Abstract Buildings that are able to shift their loads without comfort restraints are important for the ongoing transformation of the power supply. This flexibility potential can be expressed in flexibility factors. The usefulness of four factors is investigated based on load control for the heat pump of a small apartment building according to electricity prices (high/low tariffs, spot market prices), CO2eq emissions share in the grid and a restricted operation period during daytime. The calculation methodology of the presented flexibility factors GSC, RIP, FF and FI is very different. RIP and FF are preferable because they have defined valid ranges which makes them easier to understand. Current electricity prices force the heat pump operation mainly into the night. The optimization of CO2eq emissions encourages operation mainly during the day. The optimization goals costs or CO2eq emissions thus lead to opposing heat pump operation times and can currently therefore not both be met simultaneously.

scholarly journals A correlation analysis of the spot market prices of the Romanian electricity sector

2019 ◽  
Vol 14 (1) ◽  
pp. 150-162 ◽  
Author(s):  
Mihail Busu ◽  
Roxana ClodniȚchi ◽  
Manuela Liliana MureȘan
Keyword(s):  
Correlation Analysis ◽  
Electricity Markets ◽  
Weighted Average ◽  
Spot Market ◽  
Electricity Sector ◽  
Electricity Production ◽  
Energy Prices ◽  
Market Prices ◽  
Electricity Grids ◽  
Main Component

Abstract The energy sector is particularly important in the national economy as a whole, while the electricity sector is its main component. The developments in this area have strong economic and social repercussions. This article makes an overview of the electricity sector, illustrating the monthly evolution of consumption and production of instantaneous electricity in Romania in the past few years. Further on, the paper presents the monthly evolution of instantaneous consumption and production of electricity in Romania, the annual structure of electricity production and the depiction of some basic indicators of centralized electricity markets managed by OPCOM. The quantitative analysis presents the monthly evolution of weighted average prices on the competitive markets managed by OPCOM and a linear correlation analysis of the spot market prices in the Eastern European region. The conclusions of the article are in line with the research in the field and show that the electricity markets have registered important evolutions in Romania, both in terms of size and prices, evolutions based on both structural and behavioral factors. It also showed that spot market prices had relatively similar developments over the period analyzed in several countries in the region, with price correlations that seem to be even stronger as the interconnection of electricity grids is higher. Therefore, the results confirm the economic theory, namely that increasing the interconnection of electricity markets can lead to energy prices being brought closer, but also to mitigating the shocks affecting these markets.

Weighted average price management of sales under the given minimum volume of assets obligatory for realization

2021 ◽  
pp. 2150035
Author(s):  
Kirill V. Svetlov ◽  
Sergey A. Vavilov
Keyword(s):  
Market Price ◽  
Weighted Average ◽  
Minimum Volume ◽  
Average Price ◽  
Market Prices ◽  
Time Period ◽  
World Markets ◽  
Asset Trading ◽  
Model Coefficient ◽  
The Given

In this paper, we consider the construction of a sales management strategy for a highly liquid asset trading at the market. The proposed strategy goal is to maximize the weighted average price of sales. It is assumed that the market price follows a geometric Brownian motion process in which drift and volatility coefficients are random functions of time. The important feature of the given management is that the volumes of assets in the succession of buy and sell executed bargains are calculated exclusively on the basis of the observed market prices rather than on the model coefficient values. In contrast to the management proposed earlier in this study, obligatory realization of some minimum volume of assets on the given time period is demanded. Examples of real-world markets trade demonstrating the imposed constraints effect on the weighted average price values obtained within the constructed management are given.

scholarly journals Agricultural land market in Slovakia in years 2001–2008

2011 ◽  
Vol 57 (No. 1) ◽  
pp. 1-9
Author(s):  
Š. Buday
Keyword(s):  
Land Use ◽  
Real Estate ◽  
Small Area ◽  
Agricultural Land ◽  
Size Structure ◽  
Land Market ◽  
Average Price ◽  
Land Utilization ◽  
Market Prices ◽  
The Real Estate

The article presents the results from the monitoring analyses of the buying/selling prices of agricultural land in accordance with the deposited contracts in the Real Estate Cadastre in years 2001–2008. Agricultural land sales, land areas and market prices are observed and evaluated under the size structure of the sold estates and their anticipated further utilization in the counties Dunajská Streda, Topoľčany, Rimavská Sobota, Liptovský Mikuláš, Michalovce and Svidník and for all observed counties as a whole. By data analyzing and evaluating of the agricultural land purchases/sales, there was taken into consideration the fact that the average price of the sold estates is to a large extent influenced by their size, location and the purpose of further utilisation. The estates of small area characterized as agricultural land are selling for the highest prices, but they already figure in the development studies and the land-use plans of the villages or they are regarded as building estates in the future. Therefore, the sold estates were divided into two categories in accordance with the expected further land utilization. As the estates for further agricultural utilization, there were considered the estates with the area above 1 hectare of agricultural land. In the case of smaller estates, it is assumed that they will be of building, recreational, sporting or other utilization after the landowner change.  

scholarly journals A Two-Stage Optimal Scheduling Model of Microgrid Based on Chance-Constrained Programming in Spot Markets

Processes ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 107 ◽  
Author(s):  
Li ◽  
Tan ◽  
Ren ◽  
Yang ◽  
Yu ◽  
...  
Keyword(s):  
Pso Algorithm ◽  
Spot Market ◽  
Optimal Scheduling ◽  
Spot Markets ◽  
Chance Constrained Programming ◽  
Two Stage ◽  
Market Prices ◽  
Scheduling Model ◽  
Proposed Model ◽  
Constrained Programming

Aimed at the coordination control problem of each unit caused by microgrid participation in the spot market and considering the randomness of wind and solar output and the uncertainty of spot market prices, a day-ahead real-time two-stage optimal scheduling model for microgrid was established by using the chance-constrained programming theory. On this basis, an improved particle swarm optimization (PSO) algorithm based on stochastic simulation technology was used to solve the problem and the effect of demand side management and confidence level on scheduling results is discussed. The example results verified the correctness and effectiveness of the proposed model, which can provide a theoretical basis in terms of reasonably coordinating the output of each unit in the microgrid in the spot market.

Sign in / Sign up

Export Citation Format

Share Document