Forward Commodity Trading with Private Information

• 成果类型: Article
• 署名作者: Anderson, Edward J.; Philpott, Andrew B.
• 署名单位: University of Sydney; University of Auckland
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2018.1777
• 发表日期: 2019
• 页码: 58-71
• 关键词: INFINITE-HORIZON MODEL; incomplete information; electricity markets; futures prices; CONTRACTS; spot; equilibrium; COMPETITION; england

摘要

We consider the use of forward contracts to reduce risk for firms operating in a spot market. Firms have private information on the distribution of prices in the spot market. We discuss different ways in which firms may agree on a bilateral forward contract: either through direct negotiation or through a broker. We introduce a form of supply-function equilibrium in which two firms each offer a supply function, and the clearing price and quantity for the forward contracts are determined from the intersection. In this context, a firm can use the offer of the other player to augment its own information about the future price.