Auctions in the Electricity Market
Electricity is an essential commodity traded at power exchanges. Its price is very volatile within a day and over the year. This raises questions about the efficiency of the trading rules. The author develops a non-cooperative auction model analyzing the
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¨ Stefan Schone
Auctions in the Electricity Market Bidding when Production Capacity Is Constrained
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¨ Stefan Schone Humboldt-Universita¨t zu Berlin School of Business and Economics Institute of Finance Spandauer Straße 1 10099 Berlin Germany [email protected] Dissertation, Humboldt-Universita¨t zu Berlin, 2008
ISBN 978-3-540-85364-0 DOI 10.1007/978-3-540-85365-7
e-ISBN 978-3-540-85365-7
Lecture Notes in Economics and Mathematical Systems ISSN 0075-8442 Library of Congress Control Number: 2008934457 © 2009 Springer-Verlag Berlin Heidelberg This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permissions for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: SPi Publishing Services Printed on acid-free paper 9 8 7 6 5 4 3 2 1 springer.com
Acknowledgements
This work was written during my work as a research assistant at the Institute of Finance of the School of Business and Economics at the Humboldt-Universitaet zu Berlin. It is a result of a development process. I would like to thank all people who have supported and helped me. Special thanks go to my academic teacher and Professor Dr. Sigrid M¨uller, who provided useful hints and ideas for my work. She accompanied and promoted the development with her encouragement, her willingness to discuss issues, and her constructive reviews. I would also like to thank everybody at the Institute of Finance, especially Dr. Matthias Pytlik, for the cooperative and creative atmosphere. I am grateful to the “Hypo-Bank-Stifungsfonds zur F¨orderung bankwissenschaftlicher Nachwuchskr¨afte” for the opportunity to present and discuss my results in seminars for doctoral students of various universities. My very special thanks go to my parents, to whom I dedicate this work.
Berlin, September 2008
Stefan Sch¨one
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Contents
1
Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
2
Literature Review . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.1 Auctions in Electricity Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.2 England and Wales: The Reference Market . . . . . . . . . . . . . . . . . . . . . 9 2.3 The Supply-Function Approach . . . . . . . . . . . . . . . . . . . . . . . . . . .
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