Hostname: page-component-cd9895bd7-jkksz Total loading time: 0 Render date: 2024-12-27T09:31:12.791Z Has data issue: false hasContentIssue false
  • English
  • Français

A revenue-equivalence theorem for electricity auctions

Part of: Mathematical economics Game theory

Published online by Cambridge University Press:  14 July 2016

Juri Hinz
Juri Hinz*
Affiliation:
Universität Tübingen
Get access Rights & Permissions [Opens in a new window]

Abstract

The purpose of this paper is to analyse the real-time trading of electricity. We address a model for an auction-like trading which captures key features of real-world electricity markets. Our main result establishes that, under certain conditions, the expected total payment for electricity is independent of the particular auction type. This result is analogous to the revenue-equivalence theorem known for classical auctions and could contribute to an improved understanding of different electricity market designs and their comparison.

Keywords

Revenue equivalenceelectricity riskauction

MSC classification

Primary: 91B26: Market models (auctions, bargaining, bidding, selling, etc.)
Secondary: 91A40: Game-theoretic models 91B50: General equilibrium theory
Type
Research Papers
Information
Journal of Applied Probability , Volume 41 , Issue 2 , June 2004 , pp. 299 - 312
Copyright
Copyright © Applied Probability Trust 2004 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Bessembinder, H., and Lemmon, M. L. (2002). Equilibrium pricing and optimal hedging in electricity forward markets. J. Finance 57, 1347–1382.CrossRefGoogle Scholar
Fabra, N., von der Fehr, N., and Harbourd, D. (2002). Modelling electricity auctions. Electricity J. 15, 72–81.Google Scholar
Fabra, N., von der Fehr, N., and Harbourd, D. (2002). Designing electricity auctions: uniform, discriminatory, and Vickery. Preprint.Google Scholar
Hewitt, E., and Ross, A. (1970). Abstract Harmonic Analysis. Springer, Berlin.Google Scholar
Hinz, J. (2003). An equilibrium model for electricity auctions. Appl. Math. (Warsaw) 30, 243–249.CrossRefGoogle Scholar
Hinz, J. (2003). Optimal bid strategies for electricity auctions. Math. Meth. Operat. Res. 57, 1–15.Google Scholar
Hinz, J. (2003). Optimizing a portfolio of power-producing plants. Bernoulli 9, 659–669.CrossRefGoogle Scholar
Krishna, V. (2002). Auction Theory. Academic Press, San Diego, CA.Google Scholar
Rényi, A. (1962). Wahrscheinlichkeitsrechnung. VEB Deutscher Verlag der Wissenschaften, Berlin.Google Scholar
Wilson, R. (2002). Architecture of power markets. Econometrica 70, 1299–1340.Google Scholar