Analysis of relationship between forward and spot markets in oligopolies under demand and cost uncertainties.

Gülpınar, N.; Oliveira, F.S.

Abstract

In this paper, we consider interaction between spot and forward trading under demand and cost uncertainties, deriving the equilibrium of the multi-player dynamic games. The stochastic programming and worst-case analysis models based on discrete scenarios are developed to analyze the impact of demand uncertainty and risk aversion on oligopoly (forward and spot) markets' structure in terms of the forwards and spot pricing, traded quantities and production. A real case of the Iberian electricity market is studied to illustrate performance of the models. The numerical experiments show that cost uncertainty impacts on the strategic decisions more than demand uncertainty.

Citation

GÜLPıNAR, N. and OLIVEIRA, F.S. 2014. Analysis of relationship between forward and spot markets in oligopolies under demand and cost uncertainties. Computational management science [online], 11(3), pages 267-283. Available from: https://doi.org/10.1007/s10287-014-0217-7

• Journal Article Type: Article
• Acceptance Date: Jun 1, 2014
• Online Publication Date: Jul 4, 2014
• Publication Date: Jul 31, 2014
• Deposit Date: Oct 21, 2023
• Publicly Available Date: Nov 15, 2023
• Journal: Computational management science
• Print ISSN: 1619-697X
• Electronic ISSN: 1619-6988
• Publisher: Springer
• Peer Reviewed: Peer Reviewed
• Volume: 11
• Issue: 3
• Pages: 267-283
• DOI: https://doi.org/10.1007/s10287-014-0217-7
• Keywords: Trading; Stochastic programming; Financial modelling; Market models; Electricity market
• Public URL: https://rgu-repository.worktribe.com/output/2114751