Robust trading in spot and forward oligopolistic markets.

Gülpınar, N.; Oliveira, F.S.

Abstract

In this article we consider the interaction between forward and spot prices and analyze trading in oligopolistic markets under uncertainty. We extend the two-stage risk-neutral stochastic model to worst-case analysis with rival demand scenarios. At the methodological level we develop a robust analysis in oligopolies and derive analytical results on the impact of demand uncertainty on the oligopolies' behavior when using robust optimal strategies. We compare the performance of robust optimization with the cases of no uncertainty and risk-neutral uncertainty. We show that under robust oligopolies the firms tend to produce more and to trade more in the forward markets, moreover, under robust optimization market prices are lower.

Citation

GÜLPıNAR, N. and OLIVEIRA, F.S. 2012. Robust trading in spot and forward oligopolistic markets. International journal of production economics [online], 138(1), pages 35-45. Available from: https://doi.org/10.1016/j.ijpe.2011.12.005

• Journal Article Type: Article
• Acceptance Date: Dec 7, 2011
• Online Publication Date: Jan 8, 2012
• Publication Date: Jul 31, 2012
• Deposit Date: Oct 21, 2023
• Publicly Available Date: Nov 15, 2023
• Journal: International journal of production economics
• Print ISSN: 0925-5273
• Electronic ISSN: 1873-7579
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 138
• Issue: 1
• Pages: 35-45
• DOI: https://doi.org/10.1016/j.ijpe.2011.12.005
• Keywords: Market modelling; Spot markets; Oligopolies; Stochastic models
• Public URL: https://rgu-repository.worktribe.com/output/2114768