A trader portfolio optimization of bilateral contracts in electricity retail markets

Electricity markets are systems for effecting the purchase and sale of electricity using supply and demand to set energy prices. Two major market models are often distinguished: pools and bilateral contracts. Pool prices tend to change quickly and variations are usually highly unpredictable. In this way, market participants often enter into bilateral contracts to hedge against pool price volatility. This article addresses the challenge of optimizing the portfolio of clients managed by trader agents. Typically, traders buy energy in day-ahead markets and sell it to a set of target clients, by negotiating bilateral contracts involving three-rate tariffs. Traders sell energy by considering the prices of a reference week and five different types of clients. They analyze several tariffs and determine the best share of customers, i.e., the share that maximizes profit. © 2014 IEEE.

Investment focused strategies in electricity markets using the ITEM-game simulator

This paper presents a methodology to establish investment and trading strategies of a power generation company. These strategies are integrated in the ITEM-Game simulator in order to test their results when played against defined strategies used by other players. The developed strategies are focused on investment decisions, although trading strategies are also implemented to obtain base case results. Two cases are studied considering three players with the same trading strategy. In case 1, all players also have the same investment strategy driven by a market target share. In case 2, player 1 has an improved investment strategy with a target share twice of the target of players 2 and 3. Results put in evidence the influence of the CO2 and fuel prices in the company investment decision. It is also observed the influence of the budget constraint which might prevent the player to take the desired investment decision.

Identifying economic periods and crisis with the multidimensional scaling

This paper applied MDS and Fourier transform to analyze different periods of the business cycle. With such purpose, four important stock market indexes (Dow Jones, Nasdaq, NYSE, S&P500) were studied over time. The analysis under the lens of the Fourier transform showed that the indexes have characteristics similar to those of fractional noise. By the other side, the analysis under the MDS lens identified patterns in the stock markets specific to each economic expansion period. Although the identification of patterns characteristic to each expansion period is interesting to practitioners (even if only in a posteriori fashion), further research should explore the meaning of such regularities and target to find a method to estimate future crisis.

Market power analysis in the Iberian electricity market using a conjectural variations model

In the last years the electricity industry has faced a restructuring process. Among the aims of this process was the increase in competition, especially in the generation activity where firms would have an incentive to become more efficient. However, the competitive behavior of generating firms might jeopardize the expected benefits of the electricity industry liberalization. The present paper proposes a conjectural variations model to study the competitive behavior of generating firms acting in liberalized electricity markets. The model computes a parameter that represents the degree of competition of each generating firm in each trading period. In this regard, the proposed model provides a powerful methodology for regulatory and competition authorities to monitor the competitive behavior of generating firms. As an application of the model, a study of the day-ahead Iberian electricity market (MIBEL) was conducted to analyze the impact of the integration of the Portuguese and Spanish electricity markets on the behavior of generating firms taking into account the hourly results of the months of June and July of 2007. The advantages of the proposed methodology over other methodologies used to address market power, namely Residual Supply index and Lerner index are highlighted. (C) 2014 Elsevier Ltd. All rights reserved.

Power producers trading electricity in both pool and forward markets

The electricity industry throughout the world, which has long been dominated by vertically integrated utilities, has experienced major changes. Deregulation, unbundling, wholesale and retail wheeling, and real-time pricing were abstract concepts a few years ago. Today market forces drive the price of electricity and reduce the net cost through increased competition. As power markets continue to evolve, there is a growing need for advanced modeling approaches. This article addresses the challenge of maximizing the profit (or return) of power producers through the optimization of their share of customers. Power producers have fixed production marginal costs and decide the quantity of energy to sell in both day-ahead markets and a set of target clients, by negotiating bilateral contracts involving a three-rate tariff. Producers sell energy by considering the prices of a reference week and five different types of clients with specific load profiles. They analyze several tariffs and determine the best share of customers, i.e., the share that maximizes profit. © 2014 IEEE.

Multidimensional scaling analysis of electricity market prices

This paper studies the impact of energy and stock markets upon electricity markets using Multidimensional Scaling (MDS). Historical values from major energy, stock and electricity markets are adopted. To analyze the data several graphs produced by MDS are presented and discussed. This method is useful to have a deeper insight into the behavior and the correlation of the markets. The results may also guide the construction models, helping electricity markets agents hedging against Market Clearing Price (MCP) volatility and, simultaneously, to achieve better financial results.

Problems in the regulatory policy of the drug market

OBJECTIVE Analyze the implementation of drug price regulation policy by the Drug Market Regulation Chamber.METHODS This is an interview-based study, which was undertaken in 2012, using semi-structured questionnaires with social actors from the pharmaceutical market, the pharmaceuticals industry, consumers and the regulatory agency. In addition, drug prices were compiled based on surveys conducted in the state of Sao Paulo, at the point of sale, between February 2009 and May 2012.RESULTS The mean drug prices charged at the point of sale (pharmacies) were well below the maximum price to the consumer, compared with many drugs sold in Brazil. Between 2009 and 2012, 44 of the 129 prices, corresponding to 99 drugs listed in the database of compiled prices, showed a variation of more than 20.0% in the mean prices at the point of sale and the maximum price to the consumer. In addition, many laboratories have refused to apply the price adequacy coefficient in their sales to government agencies.CONCLUSIONS The regulation implemented by the pharmaceutical market regulator was unable to significantly control prices of marketed drugs, without succeeding to push them to levels lower than those determined by the pharmaceutical industry and failing, therefore, in its objective to promote pharmaceutical support for the public. It is necessary reconstruct the regulatory law to allow market prices to be reduced by the regulator as well as institutional strengthen this government body.

Market of resources for virtual enterprise integration

Most definitions of virtual enterprise (VE) incorporate the idea of extended and collaborative outsourcing to suppliers and subcontractors in order to achieve a competitive response to market demands (Webster, Sugden, & Tayles, 2004). As suggested by several authors (Browne & Zhang, 1999; Byrne, 1993; Camarinha-Matos & Afsarmanesh, 1999; Cunha, Putnik, & Ávila, 2000; Davidow & Malone, 1992; Preiss, Goldman, & Nagel, 1996), a VE consists of a network of independent enterprises (resources providers) with reconfiguration capability in useful time, permanently aligned with the market requirements, created to take profit from a specific market opportunity, and where each participant contributes with its best practices and core competencies to the success and competitiveness of the structure as a whole. Even during the operation phase of the VE, the configuration can change, to assure business alignment with the market demands, traduced by the identification of reconfiguration opportunities and continuous readjustment or reconfiguration of the VE network, to meet unexpected situations or to keep permanent competitiveness and maximum performance (Cunha & Putnik, 2002, 2005a, 2005b).

analytical model and measurements of the target erosion depth profile of balanced and unbalanced planar magnetron cathodes

The erosion depth profile of planar targets in balanced and unbalanced magnetron cathodes with cylindrical symmetry is measured along the target radius. The magnetic fields have rotational symmetry. The horizontal and vertical components of the magnetic field B are measured at points above the cathode target with z = 2 x 10(-3) m. The experimental data reveal that the target erosion depth profile is a function of the angle. made by B with a horizontal line defined by z = 2 x 10(-3) m. To explain this dependence a simplified model of the discharge is developed. In the scope of the model, the pathway lengths of the secondary electrons in the pre-sheath region are calculated by analytical integration of the Lorentz differential equations. Weighting these lengths by using the distribution law of the mean free path of the secondary electrons, we estimate the densities of the ionizing events over the cathode and the relative flux of the sputtered atoms. The expression so deduced correlates for the first time the erosion depth profile of the target with the angle theta. The model shows reasonably good fittings to the experimental target erosion depth profiles confirming that ionization occurs mainly in the pre-sheath zone.

Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

Licensing in an international market

We study the effects of entry of a foreign firm on domestic welfare in the presence of licensing, when the entrant is technologically superior to the incumbent. We show that foreign entry increases domestic welfare for sufficiently large technological differences between the firms under both fixed-fee licensing and royalty licensing.

How market power affects the behaviour of a pumped storage hydro unit in the day-ahead electricity market?

The integration of large amounts of wind energy in power systems raises important operation issues such as the balance between power demand and generation. The pumped storage hydro (PSH) units are seen as one solution for this issue, avoiding the need for wind power curtailments. However, the behavior of a PSH unit might differ considerably when it operates in a liberalized market with some degree of market power. In this regard, a new approach for the optimal daily scheduling of a PSH unit in the day-ahead electricity market was developed and presented in this paper, in which the market power is modeled by a residual inverse demand function with a variable elasticity. The results obtained show that increasing degrees of market power of the PSH unit correspond to decreasing levels of storage and, therefore, the capacity to integrate wind power is considerably reduced under these circumstances.

Price forecasting in the day-ahead Iberian electricity market using a conjectural variations Arima model

Price forecast is a matter of concern for all participants in electricity markets, from suppliers to consumers through policy makers, which are interested in the accurate forecast of day-ahead electricity prices either for better decisions making or for an improved evaluation of the effectiveness of market rules and structure. This paper describes a methodology to forecast market prices in an electricity market using an ARIMA model applied to the conjectural variations of the firms acting in an electricity market. This methodology is applied to the Iberian electricity market to forecast market prices in the 24 hours of a working day. The methodology was then compared with two other methodologies, one called naive and the other a direct forecast of market prices using also an ARIMA model. Results show that the conjectural variations price forecast performs better than the naive and that it performs slightly better than the direct price forecast.

Short-term electricity prices forecasting in a competetive market by a hybrid Pso-Anfis approach

In this paper, a novel hybrid approach is proposed for electricity prices forecasting in a competitive market, considering a time horizon of 1 week. The proposed approach is based on the combination of particle swarm optimization and adaptive-network based fuzzy inference system. Results from a case study based on the electricity market of mainland Spain are presented. A thorough comparison is carried out, taking into account the results of previous publications, to demonstrate its effectiveness regarding forecasting accuracy and computation time. Finally, conclusions are duly drawn.

The portuguese pharmaceutial market in the near future - A time series exploration approach

Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão de Informação