Suchergebnisse

Prediction markets are increasingly being used to estimate probabilities of future events, and market equilibrium prices depend on the distribution of subjective probabilities of underlying events. When each contract requires the payment of a dollar if the underlying event were to occur, equilibrium prices are usually used to estimate the mean probabilities of the corresponding events. This paper shows that under certain conditions, market equilibrium prices of such contracts can lie outside the convex hull of potential traders' probability beliefs, and where this occurs, market forecasts can induce stochastically dominated group decisions. We describe examples of where this could occur and generalize these examples to characterize conditions for nonconvex prices. A necessary condition for nonconvex prices is that market risk premia for complementary contracts have opposite signs. Preference functions on the lines of prospect theory have this property.

Electrical energy which is known as secondary energy sources is generated by the conversion of renewable energy sources to potential and chemical energy or is generated by variety processes of fossil fuels. Electricity is an important product in an economy and an important input for production of most of the goods and services. Electricity has unique properties such as non-storability and it has no full substitute and therefore the electricity industry is different from classical competitive industries. During the last decade new regulations and developments in the world have initiated various reform movements and a new action plan in Turkey to create a competitive market. The relevant legislation and procedures is created and specific markets are designed within this plan and vertically integrated structure of generation transmission and distribution activities are separated in this restructuring process. in this study we focus on many examples and applications in the world about electricity market equilibrium models. Since there is no market model applied in this way in Turkey it is created to simulate market prices by using GAMS software and adoption of market price simulations to Turkey's electricity markets are examined. Finally we have performed price-cost analyses and observe the welfare effects of different market structures. -- Abstract'tan. ; İkincil enerji kaynağı olarak bilinen elektrik enerjisi yenilenebilir enerji kaynaklarının potansiyel ya da kimyasal enerjilerinin dönüştürülmesi ile ya da fosil yakıtların çeşitli işlemlerden geçirilmesi ile üretilmektedir. Elektrik, hem neredeyse bütün ürün ve hizmetlerin üretilmesinde girdi olması, hem de son kullanıcı tarafından tüketilen nihai bir ürün olması nedeniyle ekonomide çok büyük öneme sahip bir üründür. Elektriğin diğer ürünler de olmayan stoklanamama, tam ikamesinin olmaması gibi kendine has özelliklerinin oluşu nedeniyle, elektrik endüstrisi klasik rekabetçi endüstrilerden çok farklıdır. Son yıllarda dünyada oluşan yeni düzenlemeler ve gelişmelere bağlı olarak Türkiye de rekabetçi bir piyasa oluşturmak için çeşitli reform hareketlerine başladı ve yeni eylem planları oluşturdu. İlk olarak bu yenilenme sürecinde ilgili mevzuat ve prosedürler oluşturulmuş, sektöre özgü piyasalar tasarlanmış, üretim, iletim ve dağıtımdan oluşan dikey bütünleşik yapı ayrıştırılmıştır. Bu çalışmada ise Dünya'da birçok örneği ve uygulaması olan elektrik enerjisi piyasası denge modelleri üzerinde durulmuştur. Türkiye'de bu şekilde uygulanan bir piyasa modeli olmaması nedeniyle Piyasa Fiyat Simülasyonları modeli Türkiye elektrik enerjisi piyasalarına uyarlanmış ve GAMS programı kullanılarak fiyat-üretim simülasyonları oluşturulmuştur. Son olarak da çıkan sonuçlar yorumlanarak fiyat-maliyet analizi ve refah etkileri ölçümlenmiştir.

AbstractIn this paper, we discuss the dynamic equilibrium of market making with price competition and incomplete information. The arrival of market sell/buy orders follows a pure jump process with intensity depending on bid/ask spreads among market makers and having a looping countermonotonic structure. We solve the problem with the nonzero-sum stochastic differential game approach and characterize the equilibrium value function with a coupled system of Hamilton–Jacobi nonlinear ordinary differential equations. We prove, do not assume a priori, that the generalized Issac's condition is satisfied, which ensures the existence and uniqueness of Nash equilibrium. We also perform some numerical tests that show our model produces tighter bid/ask spreads than those derived using a benchmark model without price competition, which indicates the market liquidity would be enhanced in the presence of price competition of market makers.

AN EXPLICIT SOLUTION OF AN EQUILIBRIUM MODEL WITH PRICESETTING FIRMS AND SEARCHING CUSTOMERS MAKES POSSIBLE A NUMBER OF COMPARATIVESTATICS PREDICTIONS ABOUT HOW COST DIFFERENCES AMONG FIRMS, SEARCH COSTS OF CUSTOMERS, AND TAXES WILL AFFECT THE MEAN AND VARIANCE OF THE DISTRIBUTION OF MARKET PRICES. ANOTHER IMPLICATION OF THE MODEL IS THAT A FIRM'S DEMAND DEPENDS ON THE DIFFERENCE BETWEEN ITS PRICE AND THE AVERAGE PRICE IN THE MARKET.

The concept of a spatial price equilibrium has dominated the network-based models of spatial competition ever since Samuelson's (1952) formulation of this concept as a mathematical program. In practice, however, this model has often been a poor predictor of interregional flows and regional commodity prices. In this paper an extension of the spatial price equilibrium model is presented, in which attempts are made to overcome the poor predictive capabilities of this model by imbedding it within a gravity model representation of interregional flows. After the conceptual framework of this model is stated, a variational inequality formulation is presented and this formulation is then used to derive a convex mathematical programming statement of this model. Solution algorithms and sensitivity analysis of the equilibrium solution are discussed, and in the conclusion to the paper a discussion of the extensions of this model are presented which incorporate multiple commodities and imperfect competition in the regional commodity markets.

We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in course allocation; and other forms of constraints needed to model, for example, the market for roommates, combinatorial assignment problems, and knapsack constraints. Constraints give rise to pecuniary externalities, which are internalized via prices. Agents pay to the extent that their purchases affect the value the of relevant constraints at equilibrium prices. The result is a constrained-efficient market-equilibrium outcome. The outcome is fair to the extent that constraints treat agents symmetrically. (JEL D47, D61, D63, I11, I21)

We introduce a computationally tractable dynamic equilibrium model of the automobile market where new and used cars of multiple types (e.g. makes/models) are traded by heterogeneous consumers. Prices and quantities are determined endogenously to equate supply and demand for all car types and vintages, along with the ages at which cars are scrapped. The model allows for transactions costs, taxes, flexible specifications of car characteristics, consumer preferences, and heterogeneity. We apply the model to two examples: a revenue-neutral replacement of the new vehicle registration tax with a higher fuel tax and a hypothetical "merger to monopoly" in an oligopolistic new car market. We show substantial gains in consumer welfare from the tax policy change, as well as important effects on government revenues, automobile prices, driving, fuel consumption and CO2 emissions, while the merger leads to substantial welfare losses.

China's urban housing marketisation hinges on a sensible ratio of housing price to rent. This research derives a rational level for such a ratio and examines its distortions under the Chinese system. It shows that the prevailing housing price to rent ratios are significantly higher than the rational level for both subsidised and free-market housing. Unique Chinese housing market equilibria are analysed and policy recommendations on commercialising Chinese urban housing are suggested.