We analyze how strategic asset trading can be used to gain competitive advantage. In the case of electricity markets, companies seek to improve the value of their generating portfolios by acquiring, or selling, power plants. Accordingly, we derive the basic determinants of plant value,...

Since early nineties, worldwide production and distribution of electricity has been characterized by a progressive liberalization. The state-owned monopolistic production of electricity has been substituted by organized power exchanges (PEs). PEs are markets which aggregate the effective supply...

In April 2003 the U.S. Federal Energy Regulatory Commission proposed the Wholesale Power Market Platform (WPMP) for common adoption by all U.S. wholesale power markets. The WPMP is a complicated market design envisioning day-ahead, real-time, and ancillary service markets maintained and operated...

In this paper the compelling issue of efficiency of electricity markets has been studied by means of an artificial power exchange based on the agent-based approach. In particular, two common market-clearing rules, i.e., discriminatory and uniform, have been compared with respect to efficiency...

The assessment of models of financial market behaviour requires evaluation tools. When complexity hinders a direct estimation approach, e.g., for agent based microsimulation models or multifractal models, simulation based estimators might provide an alternative. In order to apply such...

Within the context of an agent-based model, model selection by the economic agents is introduced and investigated. To achieve this, a specific agent, the “economic research instituteâ€, is set up and produces regular forecasts of the economy which are published to the economic agents....

Some researchers and many practitioners have move from the classic mean-variance (Markowitz, 1959) portfolio theory to a new portfolio optimization framework based on downside-risk measures that are more appropriate to the investor’s preferences. Moreover, several studies (Friedman and...

The termstructure of interest rates is an instrument that gives us the necessary information for valueing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decissions. However, it is not directly observable and needs...

Markov switching regression processes belong to the class of Hidden Markov models (HMMs). They provide a higher flexibility than, for example, simple (auto)regression. The main reason for their popularity is the convenient interpretability. For sufficiently long time series, the different...