Market Coupling as the Universal Algorithm to Assess Zonal Divisions

Adopting a zonal structure of electricity market requires specification of zones' borders. In this paper we use social welfare as the measure to assess quality of various zonal divisions. The social welfare is calculated by Market Coupling algorithm. The analyzed divisions are found by the usage of extended Locational Marginal Prices (LMP) methodology presented in paper [1], which takes into account variable weather conditions. The offered method of assessment of a proposed division of market into zones is however not limited to LMP approach but can evaluate the social welfare of divisions obtained by any methodology.Comment: 5 page

Price pressures

We study price pressures in stock prices—price deviations from fundamental value due to a risk-averse intermediary supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price pressure effects are substantially larger with longer durations in smaller stocks. Theoretically, in a simple dynamic inventory model the ‘representative’ intermediary uses price pressure to control risk through inventory mean reversion. She trades off the revenue loss due to price pressure against the price risk associated with remaining in a nonzero inventory state. The model’s closed-form solution identifies the intermediary’s relative risk aversion and the distribution of investors’ private values for trading from the observed time series patterns. These allow us to estimate the social costs—deviations from constrained Pareto efficiency—due to price pressure which average 0.35 basis points of the value traded. JEL Classification: G12, G14, D53, D6

Integrated game-theory modelling for multi enterprise-wide coordination and collaboration under uncertain competitive environment

In this work, an integrated Game Theory (GT) approach is developed for the coordination of multi-enterprise Supply Chains (SCs) in a competitive uncertain environment. The conflicting goals of the different participants are solved through coordination contracts using a non-cooperative non-zero-sum Stackelberg game under the leadership of the manufacturer. The Stackelberg payoff matrix is built under the nominal conditions, and then evaluated under different probable uncertain scenarios using a Monte-Carlo simulation. The competition between the Stackelberg game players and the third parties is solved through a Nash Equilibrium game. A novel way to analyze the game outcome is proposed based on a win–win Stackelberg set of “Pareto-frontiers”. The benefits of the resulting MINLP tactical models are illustrated by a case study with different vendors around a client SC. The results show that the coordinated decisions lead to higher expected payoffs compared to the standalone case, while also leading to uncertainty reduction.Peer ReviewedPostprint (author's final draft

Spectrum sharing models in cognitive radio networks

Spectrum scarcity demands thinking new ways to manage the distribution of radio frequency bands so that its use is more effective. The emerging technology that can enable this paradigm shift is the cognitive radio. Different models for organizing and managing cognitive radios have emerged, all with specific strategic purposes. In this article we review the allocation spectrum patterns of cognitive radio networks and analyse which are the common basis of each model.We expose the vulnerabilities and open challenges that still threaten the adoption and exploitation of cognitive radios for open civil networks.L'escassetat de demandes d'espectre fan pensar en noves formes de gestionar la distribució de les bandes de freqüència de ràdio perquè el seu ús sigui més efectiu. La tecnologia emergent que pot permetre aquest canvi de paradigma és la ràdio cognitiva. Han sorgit diferents models d'organització i gestió de les ràdios cognitives, tots amb determinats fins estratègics. En aquest article es revisen els patrons d'assignació de l'espectre de les xarxes de ràdio cognitiva i s'analitzen quals són la base comuna de cada model. S'exposen les vulnerabilitats i els desafiaments oberts que segueixen amenaçant l'adopció i l'explotació de les ràdios cognitives per obrir les xarxes civils.La escasez de demandas de espectro hacen pensar en nuevas formas de gestionar la distribución de las bandas de frecuencia de radio para que su uso sea más efectivo. La tecnología emergente que puede permitir este cambio de paradigma es la radio cognitiva. Han surgido diferentes modelos de organización y gestión de las radios cognitivas, todos con determinados fines estratégicos. En este artículo se revisan los patrones de asignación del espectro de las redes de radio cognitiva y se analizan cuales son la base común de cada modelo. Se exponen las vulnerabilidades y los desafíos abiertos que siguen amenazando la adopción y la explotación de las radios cognitivas para abrir las redes civiles