Stochastic optimal bid to electricity markets with environmental risk constraints

There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows to investigate the influence of both the allowances and emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market and the Spanish National Emissions and Allocation Plans are the framework to deal with the environmental issues in the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), have been extended. This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, the environmental restrictions set by the EU Emission Trading Scheme, as well as the restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed and the most remarkable results will be presented.

Insurance with frequent trading: A dynamic analysis of efficient insurance markets

This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency toa dynamic setting. It introduces continuosly open markets that allow for more efficient asset allocation. It alsoeliminates the role of preferences and endowments in the classification of risks, which is done primarily in terms of the actuarial properties of the underlying riskprocess. The paper further extends insurability to include correlated and catstrophic events. Under these very general conditions the paper defines a condition that determines whether a small number of standard insurance contracts (together with aggregate assets) suffice to complete markets or one needs to introduce such assets as mutual insurance.

Information-sharing implications of horizontal mergers

We analyze the effects of uncertainty and private information on horizontal mergers. Firms face uncertain demands or costs and receive private signals. They may decide to merge sharing their private information. If the uncertainty parameters are independent and the signals are perfect, uncertainty generates an informational advantage only to the merging firms, increasing merger incentives and decreasing free-riding effects. Thus, mergers become more profitable and stable. These results generalize to the case of correlated parameters if the correlation is not very severe, and for perfect correlation if the firms receive noisy signals. From the normative point of view, mergers are socially less harmful compared to deterministic markets and may even be welfare enhancing. If the signals are, instead, publicly observed, uncertainty does not necessarily give more incentives to merge, and mergers are not always less socially harmful.

Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations

This paper provides evidence on the sources of co-movement in monthly US and UK stock price movements by investigating the role of macroeconomic and financial variables in a bivariate system with time-varying conditional correlations. Crosscountry communality in response is uncovered, with changes in the US Federal Funds rate, UK bond yields and oil prices having similar negative effects in both markets. Other variables also play a role, especially for the UK market. These effects do not, however, explain the marked increase in cross-market correlations observed from around 2000, which we attribute to time variation in the correlations of shocks to these markets. A regime-switching smooth transition model captures this time variation well and shows the correlations increase dramatically around 1999-2000. JEL classifications: C32, C51, G15 Keywords: international stock returns, DCC-GARCH model, smooth transition conditional correlation GARCH model, model evaluation.

The Effects of government spending on the distribution of consumption

We study the effects of government spending on the distribution of consumption. We find a substantial degree of heterogeneity: consumption increases at the bottom and falls at the top of the distribution, implying a significant temporary reduction of consumption inequality. The effects of the shock display correlations of around -0.7/-0.9 with the percentage of stockholders within the decile. We interpret the results as in line and yielding support to models of limited participation where, while the Ricardian equivalence holds for rich households, for poor household, with no access to capital markets, the Keynesian multiplier is at work.

Organisational innovations and health care decentralisation: A perspective from Spain

Recent policy developments in public health care systems lead to a greater diversity in health care. Decentralisation, either geographically or at an institutional level, is the key force, because it encourages innovation and local initiatives in health care provision. The devolution of responsibilities allows for a sort of de-construction of the status quo by changing both organizational forms and service provision. The new organizations enjoy greater freedom in the way they pay their staff, and are judged according to their results. These organizations may retain financial surpluses, develop spin-off companies and commission a range of specialised services (such as Diagnostic and Treatment Centres in UK) from providers outside the institutional setting in order to have more access to capital markets. However this diversity may generate a feeling of lack of commitment to a national health service and ultimately a loss of social cohesion. By fiscal decentralisation to regional authorities or planned delegation of financial agreements to the providers, financial incentives are more explicit and may seem to place profit-making above a commitment to better health care. An evaluation of the myths and realities of the decentralization process is needed. Here, I offer an assessment pros and cons of the decentralization process of health care in Spain, drawing on the experience of regional reforms from the pioneering organisational innovations implemented in Catalonia in 1981, up to the observed dispersion of health care spending per capita among regions at present.

Reputation and honesty in a market for information

Previous works on asymmetric information in asset markets tendto focus on the potential gains in the asset market itself. We focus on the market for information and conduct an experimental study to explore, in a game of finite but uncertain duration, whether reputation can be an effective constraint on deliberate misinformation. At the beginning of each period, an uninformed potential asset buyer can purchase information, at a fixed price and from a fully-informed source, about the value of the asset in that period. The informational insiders cannot purchase the asset and are given short-term incentives to provide false information when the asset value is low. Our model predicts that, in accordance with the Folk Theorem, Pareto-superior outcomes featuring truthful revelation should be sustainable. However, this depends critically on beliefs about rationality and behavior. We find that, overall, sellers are truthful 89% of the time. More significantly, the observed frequency of truthfulness is 81% when the asset value is low. Our result is consistent with both mixed-strategy and trigger strategy interpretations and provides evidence that most subjects correctly anticipate rational behavior. We discuss applications to financial markets, media regulation, and the stability of cartels.

System analysis of a Peer-to-Peer Video-on-Demand architecture: Kangaroo

Architectural design and deployment of Peer-to-Peer Video-on-Demand (P2PVoD) systems which support VCR functionalities is attracting the interest of an increasing number of research groups within the scientific community; especially due to the intrinsic characteristics of such systems and the benefits that peers could provide at reducing the server load. This work focuses on the performance analysis of a P2P-VoD system considering user behaviors obtained from real traces together with other synthetic user patterns. The experiments performed show that it is feasible to achieve a performance close to the best possible. Future work will consider monitoring the physical characteristics of the network in order to improve the design of different aspects of a VoD system.

A Method and Tool to Support the Analysis and Enhance the Understanding of Peer-to-Peer Learning Experiences

In this paper we look at how a web-based social software can be used to make qualitative data analysis of online peer-to-peer learning experiences. Specifically, we propose to use Cohere, a web-based social sense-making tool, to observe, track, annotate and visualize discussion group activities in online courses. We define a specific methodology for data observation and structuring, and present results of the analysis of peer interactions conducted in discussion forum in a real case study of a P2PU course. Finally we discuss how network visualization and analysis can be used to gather a better understanding of the peer-to-peer learning experience. To do so, we provide preliminary insights on the social, dialogical and conceptual connections that have been generated within one online discussion group.

CompP2P-GUI : interfície gràfica del Sistema de Computació Distribuïda Peer to Peer (CompP2P)

CompP2P és una interfície gràfica implementada amb Java Swing 1.5 del Sistema de Còmput Distribuït P2P CompP2P. És una interfície gràfica polivalent, és a dir, pot ésser usada en diferents sistemes operatius (Linux, Mac0sX, Windows) i per tant ha d'ésser una aplicació multiplataforma. S'ha aconseguit millorar la gestió de tots els recursos de CompP2P mitjançant una interfície gràfica molt usable i també amb modificacions efectuades en el sistema base CompP2P on s'han afegit i/o millorat aspectes com la comunciació remota, les comandes de gestió del sistema, etc.

Organisational adaptation of multi-agent systems in a peer-to-peer scenario

Organisations in Multi-Agent Systems (MAS) have proven to be successful in regulating agent societies. Nevertheless, changes in agents' behaviour or in the dynamics of the environment may lead to a poor fulfilment of the system's purposes, and so the entire organisation needs to be adapted. In this paper we focus on endowing the organisation with adaptation capabilities, instead of expecting agents to be capable of adapting the organisation by themselves. We regard this organisational adaptation as an assisting service provided by what we call the Assistance Layer. Our generic Two Level Assisted MAS Architecture (2-LAMA) incorporates such a layer. We empirically evaluate this approach by means of an agent-based simulator we have developed for the P2P sharing network domain. This simulator implements 2-LAMA architecture and supports the comparison between different adaptation methods, as well as, with the standard BitTorrent protocol. In particular, we present two alternatives to perform norm adaptation and one method to adapt agents'relationships. The results show improved performance and demonstrate that the cost of introducing an additional layer in charge of the system's adaptation is lower than its benefits.

CoDiP2P sistema de computación distribuida Peer to Peer

Implementació del disseny d'una aplicació de còmput distribuït peer-to-peer. Es porta a terme la creació d'un model del sistema. La implementació dels algorismes o polítiques que el formen i la simulació del mateix.

Privacy-Aware Peer-to- Peer Content Distribution Using Automatically Recombined Fingerprints

Peer-reviewed

Security, Privacy and Anonymity in Legal Distribution of Copyrighted Multimedia Content over Peer-to-Peer Networks: A Brief Overview

Peer-reviewed