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Article
Publication date: 13 September 2011

S.N. Singh, D. Saxena and Jacob Østergaard

Besides organizational changes in the electricity supply industry there are growing concerns about environmental issues derived from the Kyoto Protocol for the reduction…

Abstract

Purpose

Besides organizational changes in the electricity supply industry there are growing concerns about environmental issues derived from the Kyoto Protocol for the reduction of greenhouse gas emissions as well as promoting renewable energies. The purpose of this paper is to address the source side emission trading impact on electricity prices in the competitive power market.

Design/methodology/approach

Various schemes are suggested and are being implemented to achieve this objective. It is expected that electricity price will increase due to imposition of emission taxes. This paper analyzes the impact of electricity prices in the competitive electricity markets having a uniform market clearing price mechanism.

Findings

It is found that the electricity prices depend on the system loading, generation mix, etc. at a particular hour. Various emission trading instruments are discussed with a special emphasis on the European market.

Research limitations/implications

Block bidding of the suppliers is considered whereas the demand is assumed to be inelastic.

Originality/value

The emission trading impacts are analyzed on a simple example.

Details

International Journal of Energy Sector Management, vol. 5 no. 3
Type: Research Article
ISSN: 1750-6220

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Article
Publication date: 27 June 2008

Prabodh Bajpai and Sri Niwas Singh

The purpose of this paper is to develop an optimal bidding strategy for a generation company (GenCo) in the network constrained electricity markets and to analyze the…

Abstract

Purpose

The purpose of this paper is to develop an optimal bidding strategy for a generation company (GenCo) in the network constrained electricity markets and to analyze the impact of network constraints and opponents bidding behavior on it.

Design/methodology/approach

A bi‐level programming (BLP) technique is formulated in which upper level problem represents an individual GenCo payoff maximization and the lower level represents the independent system operator's market clearing problem for minimizing customers' payments. The objective function of BLP problem used for bidding strategy by economic withholding is highly nonlinear, and there are complementarity terms to represent the market clearing. Fuzzy adaptive particle swarm optimization (FAPSO), which is a modern heuristic approach, is applied to obtain the global solution of the proposed BLP problem for single hourly and multi‐hourly market clearings. Opponents' bidding behavior is modeled with probabilistic estimation.

Findings

It is very difficult to obtain the global solution of this BLP problem using the deterministic approaches, even for a single hourly market clearing. However, the effectiveness of this new heuristic approach (FAPSO) has been established with four simulation cases on IEEE 30‐bus test system considering multi‐block bidding and multi‐hourly market clearings. The joint effect of network congestion and strategic bidding by opponents offer additional opportunities of increase in payoff of a GenCo.

Practical implications

FAPSO having dynamically adjusted particle swarm optimization inertia weight uses fuzzy evaluation to effectively follow the frequently changing conditions in the successive trading sessions of a real electricity market. This approach is applied to find the optimal bidding strategy of a GenCo competing with five GenCos in IEEE 30‐bus test system.

Originality/value

This paper is possibly the first attempt to evaluate an optimal bidding strategy for a GenCo through economic withholding in a network constrained electricity market using FAPSO.

Details

International Journal of Energy Sector Management, vol. 2 no. 2
Type: Research Article
ISSN: 1750-6220

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Article
Publication date: 1 February 1988

Anthony Clunies Ross

The assignment of targets to instruments in developing countries cannot satisfactorily follow any simple universal rule. Which approach is appropriate is influenced by…

Abstract

The assignment of targets to instruments in developing countries cannot satisfactorily follow any simple universal rule. Which approach is appropriate is influenced by whether the economy is dominated by primary exports, by the importance of the domestic bond market and bank credit, by the extent of existing restriction in foreign exchange and financial markets, by the presence or absence of persistent high inflation, and by the existence or non‐existence of an active international market in the country's currency. Eighteen observations and maxims on stabilisation policy are tentatively drawn (pp. 64–8) from the material reviewed, and the maxims are partly summarised (pp. 69–71) in a schematic assignment, with variations, of targets to instruments.

Details

Journal of Economic Studies, vol. 15 no. 2
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 18 January 2008

Steven L. Jones and John C. Yeoman

The purpose of this paper is to analyze the OpenIPO process, vis‐à‐vis traditional bookbuilding, and evaluate the suitability of the OpenIPO for various types of…

Abstract

Purpose

The purpose of this paper is to analyze the OpenIPO process, vis‐à‐vis traditional bookbuilding, and evaluate the suitability of the OpenIPO for various types of companies, market conditions, and assets.

Design/methodology/approach

This paper develops the pros and cons of the OpenIPO process, vis‐à‐vis the traditional bookbuilding method, in light of the recent academic literature on securities auctions and the results of the OpenIPOs Hambrecht has conducted, as of mid‐2004.

Findings

The main advantage of the OpenIPO process is that it precludes many of the abuses recently observed in investment banking; however, it is not well suited for complex businesses that are either difficult to value or far removed from the public eye.

Research limitations/implications

Only nine OpenIPOs have been conducted by Hambrecht, or using the Hambrecht method, as of the completion of this paper in mid‐2004.

Practical implications

The paper foresees the OpenIPO process of Hambrecht as supplementing, rather than supplanting, the traditional bookbuilding method. This could come about through the emergence of the OpenIPO as a more viable alternative to bookbuilding, or possibly through some hybrid type of offering in which individual investors play a larger role in price discovery, via the internet, and shares are allocated through both the internet auction and traditional bookbuilding.

Originality/value

Managers considering an initial public offering have a choice between the OpenIPO process of Hambrecht, used in the Google offering, and the traditional bookbuilding process. The choice of the OpenIPO has become more viable not only because of the Google offering, but due to the severe criticism the traditional method has received in recent years for alleged abuses related to the pricing and allocation of shares. This paper assists managers in evaluating this choice IPO offer type while rigorously evaluating the pros and cons of the OpenIPO process and its likely future role in the investment banking industry.

Details

Managerial Finance, vol. 34 no. 2
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 11 January 2008

Alper Altinanahtar, John R. Crooker and Jamie B. Kruse

This paper aims to estimate a supply response to monetary incentives to donate organs using a survey based on Adams, Barnett and Kaserman.

Abstract

Purpose

This paper aims to estimate a supply response to monetary incentives to donate organs using a survey based on Adams, Barnett and Kaserman.

Design/methodology/approach

The paper uses bootstrap techniques to estimate the characteristics of individuals and their willingness to accept monetary compensation for an organ donation commitment. It uses the estimates to fuel a simulation that examines the relationship between a marketclearing price and the usability rate. The usability rate is the proportion of deaths that result in tissues that are viable for transplant.

Findings

By analyzing the relationship between usability rate and marketclearing price, the paper identifies three important ranges. When the usability rate is about 5 percent, a donation‐only system (zero price) should clear the market. At a usability rate between 2 and 5 percent, modest monetary incentives can attract a supply response that will clear the market. When the usability rate is less than 2 percent, supply becomes sufficiently inelastic so that even large monetary incentives will not solve the shortage problem.

Practical implications

If the market mechanism were capable of yielding a greater number of organs for transplantation than the current system, then its adoption would save numerous lives and significantly reduce the cost of treating a variety of serious diseases. Also, it is useful in a benefit‐cost analysis framework designed to measure the social value of refinements in the coordination system.

Originality/value

By relating the marketclearing price of organs to their usability rates, this paper draws attention on the importance of interdisciplinary studies.

Details

International Journal of Social Economics, vol. 35 no. 1/2
Type: Research Article
ISSN: 0306-8293

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Book part
Publication date: 2 May 2011

Dallas Burtraw, Jacob Goeree, Charles Holt, Erica Myers, Karen Palmer and William Shobe

Objective – This chapter examines the performance of the market to discover efficient equilibrium under alternative auction designs.Background – Auctions are increasingly…

Abstract

Objective – This chapter examines the performance of the market to discover efficient equilibrium under alternative auction designs.

Background – Auctions are increasingly being used to allocate emissions allowances (“permits”) for cap and trade and common-pool resource management programs. These auctions create thick markets that can provide important information about changes in current market conditions.

Methodology – This chapter uses experimental methods to examine the extent to which the predicted increase in the Walrasian price due to a shift in willingness to pay (perhaps due to a shift in costs of pollution abatement) is reflected in observed sales prices under alternative auction formats.

Results – Price tracking is comparably good for uniform-price sealed-bid auctions and for multi-round clock auctions, with or without end-of-round information about excess demand. More price inertia is observed for “pay as bid” (discriminatory) auctions, especially for a continuous discriminatory format in which bids could be changed at will, in part because “sniping” in the final moments blocked the full effect of the demand shock.

Conclusion – Uniform-price auctions (clock and sealed-bid uniform-price, and continuous uniform-price) generate changes in purchase prices that are reasonably close to predicted changes. There is some evidence of tacit collusion causing prices to be too low relative to predictions in most cases. The worst price tracking was observed for discriminatory auctions.

Application – Uniform-price auctions appear to perform at least as well as other auction designs with respect to discovery of efficient market prices when there are unexpected and unannounced changes in willingness to pay for permits.

Details

Experiments on Energy, the Environment, and Sustainability
Type: Book
ISBN: 978-0-85724-747-6

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Article
Publication date: 1 December 2004

Gerald R. Brown and Tien Foo Sing

Time on the market (TOM) has been widely tested in the US real estate literature using listing and selling data of houses captured in the multiple listing services (MLSs)…

Abstract

Time on the market (TOM) has been widely tested in the US real estate literature using listing and selling data of houses captured in the multiple listing services (MLSs). Unfortunately in the UK there are no MLSs so it is not possible to undertake similar analyses. The approach adopted in this paper differs from traditional TOM analyses in that it focuses on the speed or time the market takes to correct for information differences between open market valuations and traded prices. In this context the paper introduces the concept of equilibrium time on the market (ETOM). The study therefore adopts a different approach to estimating TOM and in addition also examines the phenomenon within the UK commercial real estate sector. Based on a simple present value model, the time taken for the difference between an appraiser's estimate of open market value and known selling prices define our time on the market under equilibrium market conditions. Using the annualised UK Investment Property Databank all‐property total return index for a sample period of 17 years between 1983 and 1999, the average ETOM was estimated to be 8.4 months. This figure, however, varied and depended on market conditions.

Details

Journal of Property Investment & Finance, vol. 22 no. 6
Type: Research Article
ISSN: 1463-578X

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Article
Publication date: 1 March 2000

DANIEL RAPPAPORT

Fundamentally, a commodity exchange, such as the New York Mercantile Exchange, serves a dual purpose. The first is hedging price risk, in which the exchange offers a fair…

Abstract

Fundamentally, a commodity exchange, such as the New York Mercantile Exchange, serves a dual purpose. The first is hedging price risk, in which the exchange offers a fair and orderly market for shifting risk via the trading of future obligations. The second major function is price discovery, in which the exchange provides a centralized, open, and liquid forum for buyers and sellers to conduct business, by which the prices of all transactions conducted on the exchange are publicly disseminated. This article surveys the role of exchange traded futures and options contracts within the worldwide energy markets and the concepts, applications, and strategies that have evolved to a level of sophistication and versatility that could not have been foreseen 150 years ago.

Details

The Journal of Risk Finance, vol. 1 no. 4
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 11 February 2014

Wei Jiang, Pupu Luan and Chunpeng Yang

– The purpose of this paper is to research and analyze the price of gold futures based on heterogeneous investors' overconfidence.

Abstract

Purpose

The purpose of this paper is to research and analyze the price of gold futures based on heterogeneous investors' overconfidence.

Design/methodology/approach

This paper divides the traders of gold futures market into two kinds: the speculators and arbitrageurs, and then constructs a market equilibrium model of futures pricing to analyze the behaviors of the two kinds of traders with overconfidence. After getting the decision-making function, the market equilibrium futures price is attained on the condition of market clearing. Then, this paper analyzes how the overconfidence impacts on futures price, volatility of the price of gold futures and the effects on individual utility.

Findings

Under different market conditions, the overconfidence psychological impacts of heterogeneous investor on the price and volatility of futures are different, sometimes completely opposite.

Originality/value

In the past literature, the relationships between overconfidence and the price or volatility are positive; however, the study shows that sometimes it is positive, and sometimes it is negative.

Details

China Finance Review International, vol. 4 no. 1
Type: Research Article
ISSN: 2044-1398

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Article
Publication date: 1 June 2005

Afzal S. Siddiqui, Emily S. Bartholomew, Chris Marnay and Shmuel S. Oren

The physical nature of electricity generation and delivery creates special problems for the design of efficient markets, notably the need to manage delivery in real time…

Abstract

The physical nature of electricity generation and delivery creates special problems for the design of efficient markets, notably the need to manage delivery in real time and the volatile congestion and associated costs that result. Proposals for the operation of the deregulated electricity industry tend towards one of two paradigms: centralized and decentralized. Transmission congestion management can be implemented in the more centralized point‐to‐point approach, as in New York state, where derivative transmission congestion contracts (TCCs) are traded, or in the more decentralized flowgate‐based approach. While it is widely accepted that theoretically TCCs have attractive properties as hedging instruments against congestion cost uncertainty, whether efficient markets for them can be established in practice has been questioned. Based on an empirical analysis of publicly available data from years 2000 and 2001, it appears that New York TCCs provided market participants with a potentially effective hedge against volatile congestion rents. However, the prices paid for TCCs systematically diverged from the resulting congestion rents for distant locations and at high prices. The price paid for the hedge not being in line with the congestion rents, i.e., unreasonably high risk premiums are being paid, suggests an inefficient market. The low liquidity of TCC markets and the deviation of TCC feasibility requirements from actual energy flows are possible explanations.

Details

Managerial Finance, vol. 31 no. 6
Type: Research Article
ISSN: 0307-4358

Keywords

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