Investors in equilibrium are modeled as facing investor speci ̄c risks across the space of assets. Personalized asset pricing models re°ect these risks. Averaging across the pool of investors we obtain a market asset pricing model that re°ects market risk exposures. It is observed on invoking a law of large numbers applied to an in ̄nite population of investors that many personally relevant risk ...

A framework for analyzing competitive electric power systems has been developed. A model and simulation based upon the framework, as well as applications and extensions, are presented. The applications include an analysis of the potential gains from trade of a large-scale synchronous interconnection between the Electric Reliability Council of Texas (ERCOT) and the Southwest Power Pool and a stu...

Algorithmic asset management refers to the use of expert systems that enter trading orders without any user intervention. In particular, market-neutral systems aim at generating positive returns regardless of underlying market conditions. In this chapter we describe an incremental learning framework for algorithmic asset management based on support vector regression. The algorithm learns the fa...

Deregulation policy has caused some changes in the concepts of power systems reliability assessment and enhancement. In this paper, generation reliability is considered and a method for its assessment using intelligent systems is proposed. Also, because of power market and generators’ forced outages stochastic behavior, Monte Carlo Simulation is used for reliability evaluation. Generation relia...

We study dynamic matching without money when one side of the market is dynamic with arrivals and departures and the other is static and agents have strict preferences over agents on the other side of the market. In enabling stability properties, so that no pair of agents can usefully deviate from the match, we consider the use of a fall-back option where the dynamic agents can be matched, if ne...

The target of an oligopolistic generating company in a pool-based electric power market is to maximize its profits using two related instruments at hand: 1) its ability to modify the market-clearing price and 2) its capability to alter its own production level. Power balance is not an issue for the generating company; the independent system operator ensures power balance considering generator a...

Price volatility is a major issue in liberalized electricity markets as far as risk management is concerned. In this paper we evaluate the impact of the Portuguese and Spanish electricity markets integration on the day-ahead market price volatility. For that purpose we develop an adaptive conjectural variations model which is implemented in GAMS language. We estimate the degree of competition i...

in today’s restructured environment, congestion management plays an essential role in power system operation. different methods are presented and discussed in this respect for congestion management in short-term and long-term intervals. it is attempted in the present paper to investigate the impact mechanism of facts devices and demand response programs together with generation re-dispatch as s...

This paper investigates how incentives of network operators to deviate from neutrality may create social costs or benefits in different market structures. The deviation from network neutrality is a general form of discrimination based on charging different prices for non-affiliated content and application providers. In this paper, deviation from network neutrality is formulated as a form of ver...