this paper demonstrates a method to how reserve capacity and cost allocation could be determined in a pool-based and disaggregated market model. the method considers both the spinning reserve and interruptible loads as the operating reserve services. in the proposed market, generators and consumers (including participation of interruptible loads) submit offers and bids to the independent system...

We show that differences in investors risk aversion can generate herd behavior in stock markets where assets are traded sequentially. This in turn prevents markets from being efficient in the sense that Þnancial market prices do not converge to the asset’s fundamental value. The informational efficiency of the market depends on the distribution of the risky asset across risk averse agents. Thes...

This paper describes strategic behavior in a nonequilibrium model of asset pricing with heterogeneous sophistication. Both risk and return are increasing in the naïveté of investors in the market. Optimal investment involves considering the effect that naïve investors have on the market. Further, we derive a simple characterization of the asset price dynamics that results from an arbitrary comb...

 We examine permanent effects of monetary expansion in an economy where access to credit for financing consumption and investment is limited and consumers and firms are cash-constrained. The main difference between our model with those of Cooley-Hanson (1989) and Walsh (2003) is that investment, in addition to consumption, is subject to a cash-constraint. In this respect, our model is...

Stock return is usually considered to be affected by firm’s financial ratios as well as economic variables. Fundamental method assume that stock returns is not solely related to the stock market. Most result come from the company condition , industry situation and whole economy. In this paper, this relationship between stock return and fundamentals is studied using the data for 22 pharmaceutica...

The allocation of UK personal sector wealth across five broad asset categories (net financial wealth, housing (and durable assets) wealth, state pension wealth, private pension wealth, and human capital) is investigated using the FAIDS (financial AIDS) model. Apart from total wealth and returns, additional variables relating to capital market imperfections, and demographic, labour market and cr...

We present a dynamic model of self-fulfilling currency crises with asset market frictions. Agents’ actions are not necessarily strategic complements, but we show the existence of a unique threshold equilibrium. Asset market frictions have important indirect effects. Contrary to a non-friction environment, large currency depreciations may occur and an attack that would quickly force the governme...

What is the characterization of asset prices and investor’s behavior under time-inconsistent preferences? This paper investigates the characterization of financial market equilibrium when time-inconsistency takes the form of myopia or hyperbolic discounting (HD). We consider an infinite horizon economy under certainty with two heterogeneous CRRA individuals, one good and one long-lived asset. T...

Is there any point to which you would wish to draw my attention?” “To the curious incident of the investment in the market.” “The agent did nothing in the market.” “That was the curious incident.” (with apologies to Sir Arthur Conan-Doyle.) In this paper we study an optimal timing problem for the sale of a non-traded real asset. We solve this problem for a utility maximizing, risk averse manage...

We consider a simple uncertain-volatility model for the asset price underlying a given option market. The asset price volatility is assumed to follow a discrete (actually finite) Markov chain σ, which changes value on some fixed future times. The volatility chain is independent of the Brownian motion governing the future evolution of the asset. Modeling the volatility evolution in this way is e...