demand response (dr) has many beneficiaries in the electricity market. there are independent players who are interested in dr, which include: transmission system owners, distributors, retailers, and aggregators. in this paper dr is introduced as a tradable commodity that can be exchanged between dr buyers and sellers in a pool-based market which is called demand response exchange (drx). drx ope...

The behavior of agents in financial markets often displays biases or errors; for example, agents frequently do not compute probabilities correctly. However, we argue that these biases/errors are not always reflected in prices. In particular, we hypothesize that agents who make errors in computing probabilities lose confidence in their probability estimates when they face market prices that are ...

We propose a new method to compute option prices based on GARCH models. In an incomplete market framework, we allow for the volatility of asset return to differ from the volatility of the pricing process and obtain adequate pricing results. We investigate the pricing performance of this approach over short and long time horizons by calibrating theoretical option prices under the Asymmetric GARC...

This thesis examines the e ect of horizontal market structure among beef cattle producers on pass-through of international beef prices to local saleyard cattle prices. The measure of market concentration used is the Her ndahl-Hirschman Index ( HHI ). HHIs are constructed using newly-available disaggregated cattle herd size data for 9 regions across the state of New South Wales. A time-invariant...

Smallholder farmers have two basic decisions to make regarding selling their surplus produce: selling at farmgate at low prices or travelling to a market centre where higher prices are offered while incurring some transaction costs. Whichever decision is made has implications for poverty alleviation efforts. Previous studies have ignored modelling participation and market choice simultaneously....

T paper investigates the relationship between prices and market concentration in the auto rental industry. We assemble an original database that includes the number of auto rental operators and other exogenous demand and cost conditions at every commercial airport in the country. The data are interesting because we observe a large variation in market structure, ranging from more than 100 monopo...

Our subject is foreign exchange auction through market makers. We consider market maker’s policy to choose bid and ask as an optimization problem. We show that if traders’ expectations are more heterogeneous, the market maker widens bid and ask spread. He can take advantage of the heterogeneous expectations. We derive an equation of expected transaction prices. This equation makes it possible t...