A risk-averse optimization model for trading wind energy in a market environment under uncertainty

In this paper, a stochastic programming approach is proposed for trading wind energy in a market environment under uncertainty. Uncertainty in the energy market prices is the main cause of high volatility of profits achieved by power producers. The volatile and intermittent nature of wind energy represents another source of uncertainty. Hence, each uncertain parameter is modeled by scenarios, where each scenario represents a plausible realization of the uncertain parameters with an associated occurrence probability. Also, an appropriate risk measurement is considered. The proposed approach is applied on a realistic case study, based on a wind farm in Portugal. Finally, conclusions are duly drawn. (C) 2011 Elsevier Ltd. All rights reserved.

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.

Cournot model with investments to change the market size

We present a new deterministic dynamical model on the market size of Cournot competitions, based on Nash equilibria of R&D investment strategies to increase the size of the market of the firms at every period of the game. We compute the unique Nash equilibrium for the second subgame and the profit functions for both firms. Adding uncertainty to the R&D investment strategies, we get a new stochastic dynamical model and we analyse the importance of the uncertainty to reverse the initial advantage of one firm with respect to the other.

How to optimize Lipton’s business model in order to stimulate tea consumption in Portugal and increase Lipton Leaf tea market share?: The importance of distribution and sales channels management in a B2B2C market

Field Lab Entrepreneurial Innovative Ventures

Exploiting the cointrgration between vix and CDS in a credit market timing model

We investigate the cointegration between VIX and CDS indices, and the possibility of exploiting it in an existing credit market timing investment model. We find cointegration over most of the sample period and the leadership of VIX over the CDS in the price discovery process. We present two methods for including cointegration into the model. Both strategies improve the in-sample and out-of-sample model performances, even though out-of-sample results are weaker. We find that in-sample better performances are explained by a stronger cointegration, concluding that in the presence of cointegration our strategies can be profitable in an investment model that considers transaction costs.

Development of a Business Model that Supports Mobile Value-Added Services Market Creation in Emerging Countries

Tutkielman tavoitteena on luoda liiketoimintamalli, joka tukee langattomien matkaviestintäpalveluiden markkinoiden luomista kehittyvillä markkinoilla. Teoreettinen osa tarkastelee langattomien matkaviestintäpalveluiden liiketoimintamallin kehittämisen tärkeimpiä elementtejä CIS maissa. Teoreettisen kappaleen tuloksena saadaan puitteet, jonka avulla liiketoimintamalli matkaviestintäpalveluille voidaan kehittää. Tutkielman empiirinen osa on toteutettu case tutkimuksena, jonka tavoitteena on ollut langattomien matkaviestintäpalvelujen markkinoiden luominen CIS maissa. Pääasiallinen empiirisen tiedon lähde on ollut teemahaastattelut. Tuloksena saatuja empiirisen osan tietoja verrataan teoriakappaleen vastaaviin tuloksiin Tulokset osoittavat, että radikaalin korkean teknologian innovaation markkinoiden luominen on hidas prosessi, joka vaatii kärsivällisyyttä yritykseltä. Markkinoiden, teknologian ja strategian epävarmuustekijät tuovat epävarmuutta kehittyvälle toimialalle ja markkinoille, joka vaikeuttaa liiketoimintamallin kehittämistä. Tärkein tekijä on palvelujen markkinointi ennemmin kuin teknologian. Avain kyvykkyys markkinoiden luomisessa on oppiminen, ei tietäminen.

Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows LIS to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution, the results are independent of the graph structure that models the peer network of agents whose decisions influence each other. (C) 2009 Elsevier B.V. All rights reserved.

A bidimensional model of matching in the marriage market with women labor decision

We construct a frictionless matching model of the marriage market where women have bidimensional attributes, one continuous (income) and the other dichotomous (home ability). Equilibrium in the marriage market determines intrahousehold allocation of resources and female labor participation. Our model is able to predict partial non-assortative matching, with rich men marrying women with low income but high home ability. We then perform numerical exercises to evaluate the impacts of income taxes in individual welfare and find that there is considerable divergence in the female labor participation response to taxes between the short run and the long run.

Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

Agricultural commodities pricing model applied to the Brazilian sugar market

This article suggests a pricing model for commodities used to produce biofuel. The model is based on the concept that the deterministic component of the Wiener process is not constant and depends on time and exogenous variables. The model, which incorporates theory of storage, the convenience yield and the seasonality of harvests, was applied in the Brazilian sugar market. After predictions were made with the Kalman filter, the model produced results that were statistically more accurate than those returned by the two-factor model available in the literature.