Dynamic pricing and learning in electricity markets
成果类型：
Article
署名作者：
Garcia, A; Campos-Nañez, E; Reitzes, J
署名单位：
University of Virginia; George Washington University; The Brattle Group
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1040.0159
发表日期：
2005
页码：
231-241
关键词：
摘要：
We analyze the price-formation process in an infinite-horizon oligopoly model where hydroelectric generators engage in dynamic price-based competition. The analysis focuses on the role of indifference prices, i.e., prices that equate the gains from releasing or storing water. Strategies where players bid their indifference prices and the marginal player undercuts the lowest-cost unsuccessful bidder constitute a Markov Perfect Equilibrium (MPE) under appropriate conditions. These conditions involve symmetric production capacity and nonfractional (i.e., all or nothing) output by successful bidders. Although the MPE solution represents an equilibrium consistent with dynamic strategic behavior, it requires computational sophistication by market participants. However, a basic learning procedure involving indifference prices converges to an MPE.