scholarly journals Safe and Private Forward-trading Platform for Transactive Microgrids

2020 ◽  
Vol 5 (1) ◽  
pp. 1-29
Author(s):  
Scott Eisele ◽  
Taha Eghtesad ◽  
Keegan Campanelli ◽  
Prakhar Agrawal ◽  
Aron Laszka ◽  
...  
Keyword(s):  
Forward Trading

Forward trading and adjustment costs in Cournot markets

2000 ◽  
Vol 37 (1) ◽  
pp. 177-195 ◽  
Author(s):  
Henry Thille ◽  
Margaret E. Slade
Keyword(s):  
Adjustment Costs ◽  
Forward Trading

scholarly journals Production choices with water markets and risk aversion: the role of initial allocations and forward trading

2018 ◽  
Vol 46 (4) ◽  
pp. 579-608 ◽  
Author(s):  
Philippe Bontems ◽  
Céline Nauges
Keyword(s):  
Irrigation Water ◽  
Weather Conditions ◽  
Water Markets ◽  
Initial Water ◽  
Production Risk ◽  
Net Returns ◽  
Murray Darling Basin ◽  
Forward Trading ◽  
Allocation Decisions

Abstract We develop a theoretical model that describes risk-averse farmers’ decisions when facing production risk due to uncertain weather conditions and when irrigation water can be traded on a market. We focus on the role of initial water allocations granted to irrigated farms at the start of the season. The presence of water markets makes the future water price uncertain and hence the value of initial water allocations uncertain. We analyse the properties of this background risk and study how initial water allocations impact farmers’ land allocation decisions between an irrigated crop and a non-irrigated crop, both characterised by random expected net returns. We then extend the model by permitting irrigation water to be traded ex-ante at a known price (forward market). Finally, we illustrate our main theoretical findings using simulations. We calibrate distributions of the random variables based on observed data from the Murray–Darling Basin in Australia where a water market has been in place for several decades.

scholarly journals Supply and Demand Risks in Laboratory Forward and Spot Markets: Implications for Agriculture

2000 ◽  
Vol 32 (1) ◽  
pp. 159-173 ◽  
Author(s):  
Dale J. Menkhaus ◽  
Chris T. Bastian ◽  
Owen R. Phillips ◽  
Patrick D. O'Neill
Keyword(s):  
Supply And Demand ◽  
Experimental Methods ◽  
Spot Market ◽  
Spot Markets ◽  
Market Institutions ◽  
Equilibrium Outcome ◽  
Market Outcomes ◽  
Forward Market ◽  
Total Surplus ◽  
Forward Trading

AbstractLaboratory experimental methods are used to investigate the impacts of supply and/or demand risks on prices, quantities traded, and earnings within forward and spot market institutions. Random demand and/or supply shifts can be as much as 25 percent of the expected equilibrium outcome. Nevertheless, results suggest that the spot or forward trading institution itself has a greater influence on market outcomes than the presence of risk within the trading institution. Sellers tend to have relatively higher earnings in a spot market than buyers, regardless of the risk. Total surplus, however, generally is greater in a forward market.

Strategic Forward Trading and Technology

2016 ◽  
Author(s):  
Heikki Peura ◽  
Derek W. Bunn
Keyword(s):  
Forward Trading

Corrigendum to “Forward trading and collusion in oligopoly” [J. Econ. Theory 131 (1) (2006) 212–230]

2010 ◽  
Vol 145 (6) ◽  
pp. 2496-2497
Author(s):  
Ludwig Ressner ◽  
Matti Liski ◽  
Juan-Pablo Montero
Keyword(s):  
Econ Theory ◽  
Forward Trading

EXECUTION COSTS AND EFFICIENT EXECUTION FRONTIERS

2012 ◽  
Vol 07 (01) ◽  
pp. 1250002 ◽  
Author(s):  
DILIP B. MADAN
Keyword(s):  
Price Risk ◽  
Execution Costs ◽  
Cost Frontier ◽  
Size Dependent ◽  
Block Trades ◽  
Optimal Execution ◽  
Explicit Analysis ◽  
Forward Trading ◽  
Nonlinear Expectations ◽  
Additional Exposure

Single period risks acceptable to the market at zero cost are modeled by a convex set of random variables leading to bid and ask prices that are trade size dependent. The theory of nonlinear expectations is employed to construct dynamically consistent sequences of bid and ask unit size prices that are size and trade date contingent. We then study the optimal design of spot and forward trading to minimize execution costs. Finally, we illustrate the construction of a two period execution cost frontier trading a decrease in execution costs for additional exposure to price risk. Most structured products already have prices that depend on the direction of the trade. Additionally markets already exist for large block trades with their own price structure that takes account of the time allowed for its execution. This paper outlines arbitrage free mechanisms for generating such price structures that could lead to automating quotation systems for such markets. Additionally, we describe the tradeoffs implicit in seeking to commit to trades now as opposed to assuming the price risk implicit in delaying commitments. Such an explicit analysis could lead to the development of optimal execution algorithms that economize on the level of price risk absorbed into the execution strategies.

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