The paper exammes the optimal behavior of a smgle dealer who 1s faced with a stochastic demand to trade (modeled by a continuous time Pmsson Jump process) and facmg return risk on his stock and on the rest of his portfolio (modeled by diffusion processes). Usmg stochastic dynamic programmmg, we dertve the optimal bid and ask prices that maxnmze the dealer’s expected utility of termmal wealth as...

In his book on “Market Microstructure” Spulber presented some strange results with respect to the impact of the substitutability parameter in an intermediation model with differentiated products and inputs. Intuitively, effects in the product and the input market should be similar: if firms become more homogeneous, they loose market power, which should yield lower bid-ask-spreads and higher out...

This paper designs a novel fuzzy attributes and competition based bidding strategy (FAC-Bid), in which the final best bid is calculated on the basis of the assessment of multiple attributes of the goods and the competition fo~ the goods .in .the market. The assessment of attributes adapts the fuzzy sets technique to handle uncertamty of the blddmg process. The bidding strategy also uses and det...

A new market based approach for transmission expansion planning in deregulated environments is presented in this paper. In this approach, transmission-planning decisions are made based on the electric power market conditions. The main contribution of this research is 1) Introducing a new probabilistic tool for analyzing the electric market conditions, 2) Defining new criteria for ranking transm...

This paper designs a novel fuzzy competition and attitude based bidding strategy (FCA-Bid), in which the final best bid is calculated on the basis of the attitude of the bidders and the competition for the goods in the market. The estimation of attitude is based on the bidding item’s attribute assessment, which adapts the fuzzy sets technique to handle uncertainty of the bidding process as well...

In many European countries, natural gas-fired power plants are considered a possibility to quickly compensate the expected shortfall in electric energy supply. Increasing gasfired generation capacity would also increase the couplings and interactions between gas and electricity systems. So far, gas power plants participate in two different markets gas and electricity. Coupling these markets by ...

While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...

We use a novel framework that integrates standard asset pricing and microstructure models to study how asymmetric information, imperfect competition among market makers, and risk aversion affect equilibrium illiquidity and asset pricing. All the main results are obtained in closed-form. In our model, market power, asymmetric information, and market-making cost drive market illiquidity. This mod...