Modelling price formation in electricity markets is a notoriously difficult process, due to physical constraints on electricity generation and transmission, and the potential for market power. This difficulty has inspired the recent development of bottom-up agent-based algorithmic learning...

We study two electricity markets connected by a fixed amount of cross-border capacity. The total amount of capacity is known to all electricity traders and allocated via an auction. The capacity allocated to each bidder in the auction remains private information. We assume that traders are faced...

This paper studies Bertrand price-setting behavior when firms face capacity constraints (Bertrand–Edgeworth game). This game is known to lack equilibria in pure strategies, while the mixed-strategy equilibria are hard to characterize. We explore families of heuristic rules for individual...

This Paper discusses the electricity reforms in California and in England and Wales. In both cases, a centralized spot market played a major role, and both markets have now been abolished. This Paper argues that their disappearance is not evidence that future electricity restructuring should...

The Spanish electricity spot market is highly concentrated both on the seller and the buyer side. Furthermore, unlike electricity spot markets in other deregulated electricity systems, large buyers and sellers are typically vertically integrated. This allows both large net sellers and large net...

Desde principios de los años 90 se ha producido una ola de liberalizaciones de los mercados eléctricos bajo la premisa de que la presión competitiva llevaría a una reducción en el coste de suministro. No obstante, gran parte de los estudios académicos concluyen que estos mercados están...

Renewable Energy Sources (RES) are likely to continue the upward trend observed in the past decade. The change from dispatchable generation to an environment in which Independent System Operators (ISOs), Regional Transmission Operators (RTOs), Load Serving Entities (LSEs) and consumers...

In this paper we apply a model of optimal bidding behavior to the Italian wholesale electricity market under three hypotheses: i) costs of generation are private knowledge, ii) firms can be vertically integrated, and iii) firms can sell part of their production in advance with bilateral...

We use high frequency real time spot prices and day-ahead forward prices from the Pennsylvania–New Jersey–Maryland wholesale electricity market to calculate, describe, and forecast spot price volatility. We introduce the concept of forward realized volatility calculated from day-ahead...

Very tight generation capacity (‘underinvestment’) in competitive electricity markets is a major concern to policymakers. Employing a model with endogenous capacity, capacity mix, operations and with uncertain demand we show that ‘underinvestment’ is due to the rational (non-abusive)...