scholarly journals SIMULATION MODEL COMPONENTS OF THE PRICE FORMATION PROCESSES ON THE ELECTRICITY MARKET OF UKRAINE

2019 ◽  
pp. 28-34
Author(s):  
Ye. Parus ◽  
◽  
I. Blinov ◽  
Keyword(s):  
Simulation Model ◽  
Electricity Market ◽  
Price Formation ◽  
Formation Processes ◽  
Model Components

scholarly journals Identification of the Efficiency Gap by Coupling a Fundamental Electricity Market Model and an Agent-Based Simulation Model

Energies ◽  
2020 ◽  
Vol 13 (15) ◽  
pp. 3920
Author(s):  
Laura Torralba-Díaz ◽  
Christoph Schimeczek ◽  
Matthias Reeg ◽  
Georgios Savvidis ◽  
Marc Deissenroth-Uhrig ◽  
...  
Keyword(s):  
Simulation Model ◽  
Electricity Market ◽  
Policy Instruments ◽  
Cost Effective ◽  
Market Model ◽  
Perfect Competition ◽  
Agent Based Simulation ◽  
Agent Based ◽  
Target States ◽  
Efficiency Gap

A reliable and cost-effective electricity system transition requires both the identification of optimal target states and the definition of political and regulatory frameworks that enable these target states to be achieved. Fundamental optimization models are frequently used for the determination of cost-optimal system configurations. They represent a normative approach and typically assume markets with perfect competition. However, it is well known that real systems do not behave in such an optimal way, as decision-makers do not have perfect information at their disposal and real market actors do not take decisions in a purely rational way. These deficiencies lead to increased costs or missed targets, often referred to as an “efficiency gap”. For making rational political decisions, it might be valuable to know which factors influence this efficiency gap and to what extent. In this paper, we identify and quantify this gap by soft-linking a fundamental electricity market model and an agent-based simulation model, which allows the consideration of these effects. In order to distinguish between model-inherent differences and non-ideal market behavior, a rigorous harmonization of the models was conducted first. The results of the comparative analysis show that the efficiency gap increases with higher renewable energy shares and that information deficits and policy instruments affect operational decisions of power market participants and resulting overall costs significantly.

The Effects of Bankruptcy on the Predictability of Price Formation Processes on Warsaw’s Stock Market

e-Finanse ◽  
2016 ◽  
Vol 12 (1) ◽  
pp. 32-42
Author(s):  
Paweł Fiedor ◽  
Artur Hołda
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Large Body ◽  
Structural Complexity ◽  
Price Formation ◽  
Formation Processes ◽  
Before And After ◽  
History Of ◽  
Definition Of ◽  
Window Approach

AbstractIn this study we investigate how bankruptcy affects the market behaviour of prices of stocks on Warsaw’s Stock Exchange. As the behaviour of prices can be seen in a myriad of ways, we investigate a particular aspect of this behaviour, namely the predictability of these price formation processes. We approximate their predictability as the structural complexity of logarithmic returns. This method of analysing predictability of price formation processes using information theory follows closely the mathematical definition of predictability, and is equal to the degree to which redundancy is present in the time series describing stock returns. We use Shannon’s entropy rate (approximating Kolmogorov-Sinai entropy) to measure this redundancy, and estimate it using the Lempel-Ziv algorithm, computing it with a running window approach over the entire price history of 50 companies listed on the Warsaw market which have gone bankrupt in the last few years. This enables us not only to compare the differences between predictability of price formation processes before and after their filing for bankruptcy, but also to compare the changes in predictability over time, as well as divided into different categories of companies and bankruptcies. There exists a large body of research analysing the efficiency of the whole market and the predictability of price changes en large, but only a few detailed studies analysing the influence of external stimulion the efficiency of price formation processes. This study fills this gap in the knowledge of financial markets, and their response to extreme external events.

Modelling of green electricity effects on oligopoly market

2011 ◽  
Vol 225 (8) ◽  
pp. 1007-1015
Author(s):  
M T Meszaros ◽  
S O Bade Shrestha
Keyword(s):  
Computational Model ◽  
Simulation Model ◽  
Market Structure ◽  
Market Power ◽  
Electricity Market ◽  
Fossil Fuel ◽  
Green Electricity ◽  
Capacity Limits ◽  
Minimum Requirement ◽  
Capacity Limit

This article builds a simulation model to analyse the effect of a change in the main policy variables of the British Renewable Obligation System, i.e. how the increase in the minimum requirement of green electricity can affect the prices and quantities in the electricity market under oligopoly market structure. The results show that the increasing quota obligation increases the price of electricity. The outcomes of this computational model emphasize the importance of the capacity limit which can constrain the market power and increase the competition in the market. In addition, the simulation shows that the integration of fossil-fuel and renewable producers has very small effect on production and prices because of the capacity limits.

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