We examine the effect of an oligopolistic upstream electronic market on upstream and downstream prices. The analysis highlights the two sources of competition that a firm that source from an electronic market (e-market firm) face: competition with less efficient firms that source traditionally (t-market firms) and competition among e-market firms. When size of the upstream e-market is small, th...

This paper analyses the evolution of electricity prices in deregulated market. I formulate a model that takes into account the spatial features of a network of a market. The model is applied to equilibrium electricity spot prices of the PJM market. An empirical analysis indicates that the problem of unobserved spatial correlation in the network can be modeled by the Spatial Error Model providin...

A number of recent papers find that the volatility implied by index option prices significantly overstates future stock market volatility. We investigate whether this bias is purely due to measurement error and model misspecification, or whether the bias is also apparent in option market prices. We accomplish this by examining the profits for trading strategies designed to exploit the apparent ...

Market mechanisms solve distributed scheduling problems by allocating the scheduled resources according to market prices. We model distributed scheduling as a discrete resource allocation problem, and demonstrate the applicability of economic analysis to this framework. Drawing on results from the literature, we discuss the existence of equilibrium prices for some general classes of scheduling ...

Virtual power plant (VPP) can be studied to investigate how energy is purchased or sold in the presence of electricity market price uncertainty. The VPP uses different intermittent distributed sources such as wind turbine, flexible loads, and locational marginal prices (LMPs) in order to obtain profit. VPP should propose bidding/offering curves to buy/sell from/to day-ahead market. In this pape...

Recent literature shows how the destabilising e¤ect of portfolio insurance activity on the price of the underlying asset depends on the liquidity of the asset market. We build a simple model where market timers shift capital around asset markets in order to exploit gains from temporary excess-volatility of asset prices. In this way, market timers increase the liquidity of asset markets reducing...

We develop a dynamic model of experience goods pricing with independent private valuations. We show that the optimal paths of sales and prices can be described in terms of a simple dichotomy. In a mass market, prices are declining over time. In a niche market, the optimal prices are initially low followed by higher prices that extract surplus from the buyers with a high willingness to pay. We c...

Introduction With prediction markets growing in number and in prominence in various domains, the construction of a modeling framework for the behavior of prices on traded contracts has become an increasingly important endeavor. In this paper, we present such a theoretical framework, as we attempt to use mar-tingale theory in the analysis of prediction market price fluctuations. The application ...

This paper presents a theoretical view of imperfect market. It concludes that an increase in the price of products does not give any incentive to increasing production which shows the mechanism for upward trends in prices.

An attempt has been made to study the price behaviour of major vegetables in hill region of Nepal. The study is based on secondary data on wholesale monthly/weekly arrivals and prices for the period of 2000-01 to 2009-10. The seasonality in wholesale price was analyzed using multiplicative model; the Fourier analysis was used to analyze cyclical variation in wholesale prices and Autoregressive ...