In this paper, a simulation of high-frequency market data is performed with the Genoa Artificial Stock Market. In the market model, heterogeneous agents trade a risky asset in exchange for cash. Agents have zero intelligence and issue random limit or market orders depending on their budget...

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...

We develop a powerful and user-friendly program for numerically solving first price auction problems where an arbitrary number of bidders draw independent valuations from heterogenous distributions and the auctioneer imposes a reserve price for the object. The heterogeneity in this model arises...

Within the independent private-values paradigm, we derive the data-generating process of the winning bid for the last unit sold at multi-unit, sequential English auctions when bidder valuations are draws from different distributions; i.e., in the presence of asymmetries. When the identity of the...

In the past decades, the amount of worldwide security transactions that was processed by electronic trading platforms increased significantly. In this paper we develop a theoretical framework for the pricing of limit orders of the Electronic Security Trading System Xetra operated by the German...

This paper investigates private-value `reserve price' auctions when there is a strong bidder in an n-bidder model. Consider an auction model, in which bidders draw their values from the same distribution, but then identity of the high-value bidder is revealed. This can be more plausible than the...

We propose using the information revealed through auctions, including in particular the unsuccessful bids, to identify latent demand. Applied to combinatorial auctions for bundles of goods, this information can identify new bundles with particularly high valuations, expressed by their high...