Price Maker Research Articles

Inverted vs maker-taker routing choice and trader information

We examine U.S. equity trader use of inverted versus maker-taker venues. Inverted (maker-taker) venues charge fees for maker (taker) executions and pay rebates for taker (maker) executions. Researchers argue maker fee orders can be used to front run same price maker rebate orders. We find maker fee orders are often routed with the intent to set market prices. They execute quicker and are more informed than maker rebate orders. Conversely, taker rebate orders execute slower and are less informed than taker fee orders. Our results suggest that maker and taker fee orders are more likely to convey information.

Analisis SCP (Structure, Conduct, Performance) Jeruk Siam Saat Pandemi Covid-19 di Kecamatan Umbulsari Kabupaten Jember

Siamese oranges in Umbulsari District are citrus fruit production centers in Jember Regency. Therefore, this study aims to determine the structure, behavior and performance of the citrus fruit market in the District of Umbulsari. The analysis used is descriptive analysis with the SCP approach. The analysis of market structure looks at the number of market participants, product differentiation, market information, barriers to market entry and exit and market concentration ratios. In the analysis of market behavior look at the pricing system of each marketing channel and price correlation. The results of the research show that the market structure in Umbulsari District leads to an oligopsony market. In market behavior, there are 3 marketing channels, the position of farmers as price takers and middlemen as price makers, the correlation value of grade A is 0.942 and grade B is 0.764, close to zero, so the relationship between prices at the two market levels is less close. Market performance shows that marketing channel I is the most efficient, but based on field results in Umbulsari District, marketing channel III is the most dominated by farmers.

Two-stage distributionally robust offering and pricing strategy for a price-maker virtual power plant

This paper presents a two-stage distributionally robust approach for offering and pricing strategy of a virtual power plant (VPP) acting as a price-maker in the day-ahead market. The model incorporates uncertainties related to distributed photovoltaic (PV) output, real-time market price and charging stations demand. In the first stage, the VPP determines its day-ahead market bids/offers as a price maker and releases the retail price to the charging stations based on the worst case of probability distribution realizations. In the second stage, the VPP optimizes energy storage operations and the power transactions in the real-time market to maximize its revenue according to the optimal first stage decisions. To efficiently solve the two-stage model, a customized column-and-constraint generation algorithm (C&CG) is designed that decomposes non-convex subproblems into several small-scale linear programming problems that are independent of each other. The effectiveness of the proposed strategy is validated through case studies conducted with the IEEE 33-bus system.

Optimal self-unit commitment with shared asset ownership under realistic taxation in the current decarbonization framework

Energy, greenhouse gas emissions, or water taxes, are present in many power systems as available instruments to implement energy, environmental or climate policies. The goal of these taxes is to change producers’ optimal behavior and hence achieve a cleaner operation. However, these changes in operation are not straightforward to simulate when producers are price makers, or when assets are owned jointly by different agents. State-of-the-art models are unable to consider differentiated income taxes per technology or geographical region, in the case of price makers. In this paper, we present a novel formulation that models the individual market income of each unit using the binary-expansion technique to address the case of a price-maker agent. Unlike existing state-of-the-art formulations, our approach successfully accounts for differentiated income taxes per technology or geographical region and accurate market revenues of shared generators. The proposed model enables evaluating the rational behavior of a generation company confronting a complex yet realistic decision problem, under different types of taxes related to decarbonization or resource conservation policies. The case study incorporates the impact of the installation of carbon sequestration and storage equipment in a fleet of gas-fired power plants, yielding satisfactory numerical results.

A Stackelberg Game Based Optimization Method for Heterogeneous Building Aggregations in Local Energy Markets

This paper proposes an optimal operational method and a customized pricing strategy for a Microgrid (MG) incorporating heterogeneous buildings from different communities in a local energy market (LEM). A customized pricing strategy in the LEM for the heterogeneous building aggregations (BAs) is proposed considering their heterogeneous insulation performances. In this regard, a hierarchical framework with two levels for optimal decision-making of the MG as the price maker and BAs as the price takers in the LEM are presented. At the upper level, the MG aims to maximize its profit by optimizing the customized prices and its energy schedules. At the lower level, a detailed physical model of the building with adjustable heating, ventilation, and air conditioning (HVAC) systems is developed while considering the building's thermal dynamics. The objective of each BA in each community is to minimize its operating cost while ensuring the users' thermal comfort according to MG's prices. The Stackelberg game is used to model the interactions between the MG (leader) as the price maker and multiple heterogeneous BAs (followers) as the price takers in the LEM. Then, the proposed optimization model is converted into a mixed integer linear programming using the Karush-Kuhn-Tucker conditions and strong duality theorem. Numerical results show that the hierarchical method benefits both the MG and heterogeneous BAs with customized pricing schemes. The HVAC of the building with good thermal insulation performance can make more adjustments to indoor temperature to reduce its operating costs. Moreover, it has a more significant impact on MG's electricity prices.

Research on the Pricing Model of DerivativesBased on the Black-Scholes Model and Binomial Model

The pricing of financial derivatives plays a significant role in risk management and financial transactions. The models of pricing are mainly divided into Black-Scholes Model and Binomial Model. The two models have different characteristics and distinguishing the models is helpful for price makers. The paper aims to analyse the distinction between the two models on the Huaxia Stock Exchange 50ETF by using Python. This paper selected the stock price, the volatility and the option price from the Eastmoney database. First, edit the formulas of two models and then introduce the parameters into the formula by Python and get the model calculated price. Comparison between the calculated prices helps to compare the two pricing models. The result is that Black-Scholes Model is more accurate and Binomial Model is more simplified which is suitable for new officers.

Marketing System of vegetables from the village to the central market in Palembang City, South Sumatra Province

Market dominance, widely fluctuating prices, and demand patterns make small producers vulnerable to market forces and increase the risk of income uncertainty. Identifying and describing vegetable marketing channels and marketing functions performed by marketing agencies, it is necessary to analyze the efficiency of vegetable marketing channels. The research method used was a survey method by conducting 35 samples of farmers who farmed three commodities, namely large chilies, cabbage, and chinese cabbage—selected snowball sampling method for marketing agencies. The data analysis used is marketing channel analysis, marketing margin analysis, farmer's share, and marketing efficiency. The research results show that there is only one marketing channel pattern, namely farmers - collectors - wholesalers - retailers - consumers. Moreover, in every sales transaction, the market power rests with the wholesalers as price makers. Several functions include purchasing and selling parts and facility functions carried out by farmers and marketing in the marketing system. Even though the market structure is one-sided because market forces are more vital at the wholesalers, marketing from Kerinjing Village to the Jakabaring Palembang wholesale market has proven effective based on market margins, profit margins, and farmer's share. Comprehensive government support policies to build linkages between small producers and the larger market. With state policies such as building access roads, facilitating farmers in accessing market information,

Sellers’ inflation, profits and conflict: why can large firms hike prices in an emergency?

The dominant view of inflation holds that it is macroeconomic in origin and must always be tackled with macroeconomic tightening. In contrast, we argue that the US COVID-19 inflation is predominantly a sellers’ inflation that derives from microeconomic origins, namely the ability of firms with market power to hike prices. Such firms are price makers, but they only engage in price hikes if they expect their competitors to do the same. This requires an implicit agreement which can be coordinated by sector-wide cost shocks and supply bottlenecks. We review the long-standing literature on price-setting in concentrated markets and survey earnings calls and compile firm-level data to derive a three-stage heuristic of the inflationary process: (1) Rising prices in systemically significant upstream sectors due to commodity market dynamics or bottlenecks create windfall profits and provide an impulse for further price hikes. (2) To protect profit margins from rising costs, downstream sectors propagate, or in cases of temporary monopolies due to bottlenecks, amplify price pressures. (3) Labor responds by trying to fend off real wage declines in the conflict stage. We argue that such sellers’ inflation generates a general price rise which may be transitory, but can also lead to self-sustaining inflationary spirals under certain conditions. Policy should aim to contain price hikes at the impulse stage to prevent inflation from the onset.

Nested Bilevel Energy Hub Bidding and Pricing With Price-Responsive Demand

The increasing interdependence among different energy systems has led to the development of the integrated energy system (IES), where the energy hub (EH) is a primary market player in the distribution-level energy market. In an EH, subsystems such as electric, natural gas, and heating systems coexist and are interdependent. This paper proposes an innovative bilevel strategic decision-making framework of an EH that maximizes profit in the energy market and simultaneously reallocates profit among EH subsystems through a dynamic pricing mechanism. In the upper level, the EH acts as a price maker in the day-ahead distribution electricity market for profit maximization. In the lower level, Nash-Bargaining-based profit redistribution is realized through bilateral pricing between energy subsystems in the EH, where the fairness and interests of individual subsystems are respected. The price-responsive load couples the profit maximization and profit reallocation problems. Case studies demonstrate that the proposed framework can effectively solve the bidding and pricing problem of an EH in a day-ahead market, and the cooperation within energy subsystems contributes to higher overall profit and better fairness for the EH subsystems.

Strategic bidding of gas-fired units with tanks in coupled electricity and natural gas markets

With the increasing interdependence between the electricity and natural gas systems in economy and physics, this paper addresses the problem of developing optimal offering strategies in synchronized electricity–gas markets with step-wise energy offer formats. The gas-fired generators act as price makers in electricity markets and interruptible loads in the natural gas markets. The proposed model considers not only the impact of electricity clearing prices on gas bidding behaviors but also the influence of fuel cost variation on developing optimal electricity bidding curves. A price update method is proposed with the help of gas tanks to suppress price fluctuation. A two-stage trading mechanism is designed for gas-fired generators to optimize bids in electricity and gas markets via an iterative method. These bilinear terms in objectives and constraints are tackled by primal–dual equality conditions and binary expansion method. Then, the mathematical program with equilibrium constraints is converted to the mixed-integer linear program. The diagonalization algorithm is nested in the proposed trading mechanism if there are many leaders in the market instead of just one. Case studies validate the proposed methodology in detail.

Multi-objective robust optimal bidding strategy for a data center operator based on bi-level optimization

This paper develops an optimal bidding strategy for a data center operator (DCO) participating in the day-ahead electricity market. The DCO is regarded as a price maker managing several data centers (DCs) located in different buses of the transmission network (TN) with local renewable power generators. Based on the Stackelberg game theory, a bi-level optimization model is established to minimize operating costs and carbon emissions while spatial and temporal dispatches of workload are performed. The bi-level optimization model is transformed into a single-level using the Karush–Kuhn–Tucker technology and linearized equivalently. The Pareto set is obtained using the epsilon constraint method. Then TOPSIS combined with Shannon entropy is used to select the optimal solution. In addition, data-driven robust optimization is employed to tackle uncertainties of renewable power generations. A DCO containing four DCs and an adapted IEEE 14-bus TN are used for the case study. The results show that dispatches of workload reduce operating costs and carbon emissions significantly. Moreover, it is better to regard the DCO as a price maker than a price taker. Finally, the results with different uncertainty budgets are analyzed. All the results and analysis demonstrate the superiority of the optimal bidding strategy proposed in this paper.

Firm-specific investor sentiment and stock price crash risk: The role of foreign investors in Korea’s stock market

Building on a prior study that documents that stock price crashes are positively associated with firm-specific investor sentiment (hereafter, the sentiment), this study further investigates the moderating effect of foreign investors on Korea’s stock market. This study hypothesizes that foreign investors as sophisticated participants are indifferent of the significant relationship between the sentiment and the stock price crashes. For firms listed on the KSE over the period of 2011–2019, the analysis findings show that the high stock crash risk attributable to the high sentiment is attenuated for firms with high foreign ownership. However, such moderating effect of foreign ownership disappears when taking foreign investment horizon into consideration. This implies that future stock crash risk reduction under the high sentiment is due to the corporate monitoring role of foreign investors, who are targeting a long-term investment horizon. This study adds to the literature on the role of foreign investors by suggesting that foreign investors act as a rigorous monitor helpful for managing stock price, rather than a price maker who is rational under the high sentiment.

Are Collective Trading Organisations Necessarily Inclusive of Smallholder Farmers?: A Comparative Analysis of Farmer-led Auctions in the Javanese Chilli Market

Organising smallholder farmers into groups or co-operatives is widely promoted as a strategy to connect farmers to markets and turn them into price makers rather than price takers. This pathway usually combines co-operative organisational models, based on collective ownership and representation in internal governance, with measures to shorten the agri-food chain, shifting the ownership of intermediary sourcing, aggregating and trading functions to the group. The underlying assumption is that this improves smallholder farmers' terms of inclusion in markets. To scrutinise this assumption, our study compares two examples of farmer-led auctions facilitating trading in the chilli market in Java, Indonesia. The auctions' ownership, management and performance evolved differently: one was run by a group and the other by a family. The comparison brings nuance to the prevalent emphasis on co-operative ownership structures. By researching practices central to collective trading at the chilli supplier–trader interface, this study unravels four dimensions—ownership, voice, reward and risk—capturing smallholder chilli farmers' terms of inclusion in both the auctions and the market. Our comparative analysis suggests that shared ownership and control of the trading function, a central feature of co-operative models, does not necessarily ensure favourable terms of inclusion for smallholder farmers with little capacity to take risks. The capacity to reconfigure the terms of market inclusion for vulnerable smallholder farmers involves direct payment modalities and risk taking. A collectively owned trading organisation does not necessarily imply an inclusive business concept when the organisation cannot acquire sufficient working capital to pay its suppliers.

Economic assessment of multi-operator virtual power plants in electricity market: A game theory-based approach

In recent years, the penetration of distributed energy resources (DERs) has increased significantly due to their tremendous effect on network flexibility, economic indicators, and power loss. On the contrary, a diverse assortment of DERs can lead to some challenges in controlling these resources in the power grid. To acquire the maximum benefit of DERs and overcome their challenges the concept of virtual power plants (VPPs) has been suggested. Due to the ability of VPPs to participate in electricity markets and the competition of VPPs to gain more profit we are facing deregulated multi-operator markets, and it is necessary to define VPPs as price maker units. The optimal economic assessment of VPPs in a multi-operator market depends on two folds: modeling inner cooperation between its components and managing external competition with other VPPs. To this end, in this paper, a new framework for optimal economic assessment of a multi-operator VPP system is proposed by considering a combination of non-cooperative and cooperative game theory-based approaches. In the proposed methodology, VPPs compete with other rivals to determine the amount of power exchange and offer prices based on supply function equilibrium. Due to incomplete information of VPPs about other opponents and market construction, a combination of particle swarm optimization and genetic algorithm is proposed to find the Nash equilibrium point. Also, the Shapely value concept is used for fair distribution of shared profit among VPPs components. The effectiveness of the proposed method has been verified in two case studies for a multi-operator VPP with a diverse assortment of DERs. The results show that VPP profit and electricity market prices directly relate to the diversity of resources in VPP. In this regard, the mark-up coefficient of the VPP with a greater number of DERs is about 16% and 32% larger than the two other VPPs which leads to more profit for this VPP and resources in its coalition.

Evaluating the Impact of Bilateral Contracts on the Offering Strategy of a Price Maker Wind Power Producer

Due to the high penetration of wind power generation in power systems and electricity markets, wind power plants (WPPs) can, in some scenarios, influence the market prices and exercise market power in the day-ahead (DA) market. In order to evaluate the capability of WPPs to directly act as price-maker, this article proposes the strategic offering of a WPP in the DA market by using a bilevel stochastic optimization approach. The primary objective of the proposed model is to maximize the WPP's expected profit by strategically offering in DA market while minimizing the energy deviations in the regulating market. Moreover, the WPP can also sign bilateral contracts with customers to supply their required energy. In the subproblem, the system operator tends to minimize the sum of the total generation costs minus the sum of the total demand benefits. The effect of bilateral contracts on the strategic offering of WPP in the DA market and its impact on the transmission margin are also investigated. Results on real cases show that when the WPP enters into a bilateral contract, it should consider the effect of such contracts on the offering strategy to the DA market. The effects of bilateral contracts on the regulating market are also examined.

Does Volume of Gold Consumption Influence the World Gold Price?

Gold is a universal commodity traded across the world. The London Bullion Market Association (LBMA) fixes prices twice a day, known as AM and PM fix prices. This study is an attempt to find out whether the volume of gold consumption shows any significant impact on the world gold prices, known as LBMA fix prices. The sample includes major gold-consuming countries, such as India, the USA, China, Japan, and countries in Europe and the Middle East grouped together under Europe and the Middle East, respectively. The results conclude that there exists a long-run relationship between LBMA fix prices and the gold demand of all the countries. Furthermore, the volume of gold demand significantly influences LBMA AM fix and PM fix prices. It is found out that the demand of all the countries together, and India and China individually, affect the world gold prices significantly. India consistently stands as the largest consumer of gold in the world gold market. In spite of this, India is a price taker. Bullion associations and commodity exchanges that allow bullion trade in India may take initiatives to make India a price maker in the world gold markets.

Analysis of the Structure, Conduct and Performance of the Chrysanthemum Flower Market in Pasuruan Regency (Study Case in Tutur Village)

With a total FOB value of $792,698, chrysanthemums had a strong export performance in the previous four years (2014–2018). This demonstrates that chrysanthemums are very competitive in the global market (Balithi, 2019). When comparing the land area in 2018 to the previous year, 2017, the land area declined to 11,105,178 m2, with a production of 488,176,610 and a productivity of 43.96 per hectare of land in 2017. (BPS, 2019). In this research, the structure, behavior, and performance of the chrysanthemum market were investigated with the help of 25 respondents and 18 merchants, with the SCP technique being applied. The findings revealed that monopolistic institutions were responsible for the market structure, which consisted of perfect competition at the farmer level and a monopoly at the marketing agency level, as well as significant obstacles to entry, product differentiation, and vertical integration. According to the findings of an investigation into the behavior of the chrysanthemum market in Tutur Village, wholesalers and flower shops are the marketing agents who conduct the greatest number of marketing duties. Wholesalers have a monopoly on market information, with farmers serving as price takers and, subsequently, marketing organizations serving as price makers. Farmers' marketing options are constrained as a result of the presence of capital linkages between them and intermediaries, and many choose to sell their products through intermediaries rather than directly to consumers. In Tutur Village, there are four different ways in which chrysanthemums may be sold. As a result of the formation of a market structure, each marketing agent employs methods and colludes with others to achieve success. Following an investigation into market performance in Tutur Village, it has been discovered that channel 4 has the largest overall margin, followed by channel 5.

Price and Profit (Conventional and Islamic Analytical Perspectives)

The commodity price reflects its value or its exchange rate compared to other commodities. Based on the producers’ point of view, price is a commodity value which brings profit to the company. On the other hand, consumers see price as the value of commodities, both goods and services that can be useful for their daily needs. The role of the Government as a price maker is carried out through direct and indirect intervention. Although in Islam there are no provisions that regulate how much traders or producers may take profits, they are required to be reasonable in raising prices so as not to oppress consumers. Even if this happens, the government has a role on controlling the price through some policies. Producers and traders can get profit as long as their activities do not violate Islamic norms. The market mechanism, the balance of supply and demand forces, is the most important principle in the process of determining commodity prices in the concept of Islamic teachings. It happens when there is willingness among economic actors. Determination of profit and rational behavior for profit maximization in Islamic teachings is principally driven by three factors, namely assuming that business is fardhu kifayah, protection of consumer interests and profit sharing. Keywords: Price, Profit, Islamic Teachings, Conventional.

Optimal participation of RES aggregators in electricity markets under main imbalance pricing schemes: Price taker and price maker approach

This paper presents a holistic approach to derive the optimal offering strategy of a RES aggregator in the day-ahead market, considering the aggregator's potential to affect market prices (price-taker vs price-maker). The day-ahead and the balancing market functions are analytically modeled and fundamental imbalance settlement mechanisms are examined, namely Single Pricing and Dual Pricing. Several sources of uncertainty are considered affecting the day-ahead market prices, the imbalance prices and the actual production of the RES aggregator. To cope with these uncertainties, a stochastic risk-constrained optimization model is formulated for the RES aggregator's optimal bidding. For the case of a price-maker aggregator, an iterative algorithm is proposed executing sequentially the market functions and the aggregator's optimal strategy model. A realistic application in the Greek power system allows for examining the motivations for strategic bidding and accurate forecasting provided to the RES aggregator in each imbalance pricing scheme. Reinforcement Learning is applied in the case of high-size RES aggregators under Single Pricing and valuable insights are provided on the convergence of the proposed algorithm.

Strategic Offering of a Price Maker Wind Power Producer in Distribution-Level Energy Markets in Presence of Flexible Prosumers

This paper presents an optimal bidding strategy for a strategic wind power producer (WPP) in a distribution-level energy market (DLEM). The behavior of the WPP is modelled through a bi-level stochastic optimization problem where the upper-level problem maximizes the profit of the WPP and the lower-level problem describes the clearing processes of the DLEM while considering network constraints. The bi-level problem is a stochastic mathematical program with equilibrium constraints (MPEC) that is formulated as a mixed-integer linear programming (MILP) problem. The main focus of this study is investigating prosumers’ impact on the market power of the strategic WPP in a DLEM structure. In this model, the effect of flexible prosumers from the aspects of demand response (DR) participants and photovoltaic penetration level (PVPL) on the WPP’s offering strategy is investigated. Moreover, the impact of bilateral contract on the market power of the strategic WPP and the cleared prices of the network is addressed. The proposed model is implemented in an IEEE 33-bus and numerical results illustrate how behavior of flexible prosumers and PVPL index affect the decision making of the strategic WPP when network constraints are considered. Numerical results show that by active participation of prosumers in DR programs, the reliance of DLEM on the strategic WPP reduces. Moreover, if the WPP participates in bilateral contracts, its offering to the DELM decreases, and as the result, the cleared prices augment indicating market power of the WPP.