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Using Environmental Emissions Permit Prices to Raise Electricity Prices: Evidence from the California Electricity Market
Raise Electricity Prices California Electricity Market
2015/7/31
This paper analyzes the extent to which the conditions in the emissions permit market for
nitrogen oxides (NOx) operated by the South Coast Air Quality Management District
(SCAQMD) in the Los Ange...
Estimating the Customer-Level Demand for Electricity Under Real-Time Market Prices
Market Prices Customer-Level
2015/7/31
This paper presents estimates of the customer-level demand for electricity by industrial and
commercial customers purchasing electricity according to the half-hourly energy prices from the
England a...
Options for Short-Term Price Determination in the Brazilian Wholesale Electricity Market: Report Prepared for Camara de Comercialização de Energia Elétrica (CCEE)
Price Determination Brazilian Wholesale Electricity
2015/7/31
This report was commissioned by the Camara de Comercialização de Energia Elétrica
(CCEE), the market operator for the Brazilian electricity supply industry, to study the options for
shor...
Non - Randomness Stock Market Price Model
Non - Randomness Stock Market Price Model everywhere discontinuous function
2011/3/23
A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
The p-adic theory of the stock market is presented. It is shown that the price dynamics is very naturally described by the adelic function. The procedure of derivation of the functional integral formu...
The scale of market quakes
Financial Markets Currency markets Market Activity Market Impact
2010/11/2
We define a methodology to quantify market activity on a 24 hour basis by defining a scale, the so-called scale of market quakes (SMQ). The SMQ is designed within a framework where we analyse the dyna...
We propose the development of a prediction market for forecasting prices for “toxic assets” to be transferred from Irish banks to the National Asset Management Agency (NAMA). Such a market allows mark...
Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price
Market microstructure CARA-Normal private information cost of capital
2009/5/7
We consider a competitive market where the final payoff of a risky asset depends on the market price of the asset. It is shown that when the final payoff depends on the market price, there are multip...
Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
Volatility forecasts at-the-money implied relation
2010/10/29
For a given time horizon T, this article explores the relationship between the realized volatility (the volatility that will occur between t and t + T), the implied volatility (corresponding to at-t...
The Trader's Dilemma: Trading Strategies and Endogenous Pricing in an Illiquid Market
Trading Strategies Endogenous Pricing an Illiquid Market
2010/7/2
We investigate a large trader's trading strategies in a decentralized market, in which all traders are subject to type switching. This trader has pressure to liquidate her position by the end of the h...