Reserve Price Research Articles

Incentive-compatible and budget balanced AGV mechanism for peer-to-peer energy trading in smart grids

Peer-to-peer (P2P) energy trading refers to a type of decentralized transaction, where the energy from distributed energy resources is directly traded between peers. A key challenge in peer-to-peer energy trading is designing a safe, efficient, and transparent trading model and operating mechanism. In this study, we consider a P2P trading environment based on blockchain technology, where prosumers can submit bids or offers without knowing the reports of others. We propose an Arrow-d’Aspremont-Gerard-Varet (AGV)-based mechanism to encourage prosumers to submit their real reserve price and determine the P2P transaction price. We demonstrate that the AGV mechanism can achieve Bayesian incentive compatibility and budget balance. Kernel density estimation (KDE) is used to derive the prior distribution from the historical bid/offer information of the agents. Case studies are carried out to analyze and evaluate the proposed mechanism. Simulation results verify the effectiveness of the proposed mechanism in guiding agents to report the true reserve price while maximizing social welfare. Moreover, we discuss the advantages of budget balance for decentralized trading by comparing the Vickrey-Clarke-Groves (VCG) and AGV mechanisms.

К ВОПРОСУ ОБ ИСТОЧНИКАХ БЮДЖЕТНОЙ НЕЭФФЕКТИВНОСТИ ГОСУДАРСТВЕННЫХ ЗАКУПОК (НА ПРИМЕРЕ ЗАКУПОК КИРПИЧА)

Improvement of public procurement system is one of the most important government tasks in Russia and its importance increases during periods of economic turbulence. The paper notes two interrelated sources of budget inefficiency in Russian procurement system due to the imperfection of the mechanisms which determine the reserve price (or initial maximum contract price in Russian procurement) as well as the design of procurement procedures. This article highlights some of the problems and distorting incentives associated with the determination of the reserve price for competitive procedures using the example of bricks purchasing. This article also proposes an approach which contributes to adjusting the existent mechanisms and reduce reported negative effects.

Two theories of endogenous money: an empirical study of Korea

This study tests Korea’s two endogenous money supply channels: the accommodationist and structuralist channels. The main analytic tools are the Fully Modified OLS, Maki’s structural break test, Error Correction Model, and Impulse Response Function (IRF) analysis. The primary purpose of this study is to propose analytical methods to compare the two endogenous money supply channels. The analytic models also consider the impact of fiscal policy and the current account balance on reserves. The test results reveal a unilateral causality from loan to reserve and a bilateral causal relationship between loan/reserve and Lf/deposit ratio. These results suggest that both accommodationist and structuralist channels coexist in Korea. However, the structuralist channel explains a relatively small portion of the endogenous money supply process. The IRF analysis does not provide evidence for the pressure on the interest rate spread exerted by financial institutions’ portfolio adjustment. This result can be attributed mainly to the central bank’s growing accommodative attitude toward the reserve demand.

Empfehlungen für das Marktdesign zur Befüllung der Gasspeicher

Abstract The gas storage regulations are intended to increase security of supply in winter. Tenders and direct procurement by the Market Area Coordinator should ensure that gas storage facilities are filled. Both instruments can lead to a displacement of other storage volumes. Since direct procurement potentially leads to less displacement and allows for better control of strategic behavior, it may be more effective. Tender design can be improved by setting a reserve price and allowing storage obligation trading in a secondary market. Furthermore, separate tenders for withdrawal options, the elimination of the commodity price surcharge, and further adjustments can be beneficial.

Estimating the Operating Reserve Demand Curve for Efficient Adoption of Renewable Sources in Korea

As the proportions of variable renewable sources (VRSs) such as solar and wind energy increase rapidly in the power system, their uncertainties inevitably undermine power supply reliability and increase the amount of operating reserve resources required to manage the system. However, because operating reserves have the characteristics of a public good and their value is related to the social cost of blackouts, it is difficult to determine their market price efficiently, which leads to inefficiencies in procuring operating reserves. This study estimates the operating reserve demand curve (ORDC) of the Korean power system to provide an effective basis for measuring the proper value and quantity of operating reserves needed to meet the reliability standard. A stochastic dynamic optimization model is applied to incorporate the probabilistic characteristics of VRS and the inter-hour constraint, which is necessary for analyzing load-following reserves. An econometric model and the Monte Carlo simulation method are used to generate the forecast profiles of solar and wind generation. The results indicate that the proper amount of hourly operating reserves needed in 2034 is approximately 4.4 times higher than that in 2020 at the current reserve offer price. The ORDC of 2020 has a price-inelastic shape, whereas the ORDC of 2034 has a price-elastic shape because the reserve requirement varies considerably with its offer price level in the high-VRS penetration case. This variability is due to alternatives, such as VRS curtailment or load shedding, which can replace the reserve requirement. This study also showed that VRS curtailment is an effective balancing resource as an alternative to reserves.

Consumer surplus in the Edgeworth box: Individual case and general case

Subject. The article considers weakly cardinal properties of the generalized individual consumer surplus on the simple exchange economy (Edgeworth box) case. Objectives. The aim is to find the new weakly cardinal properties of individual consumer surplus in the Edgeworth box economy in the quasilinear case and in the general case. Methods. The study draws on methods of logical and mathematical analysis. The generalized consumer surplus theory is investigated using the mathematical theory of the curve integrals of the second type. Results. Individual surplus generates money metric utility function with unitary marginal utility of numeraire in the Edgeworth box. The paper gives the definition of consumer surplus’ path-independence property, proves the theorem that path-independent consumer surplus is equivalent to the existence of consumer’s quasilinear preferences in a simple exchange economy, presents the characterization of general case of consumer surplus in the Edgeworth box, and provides general taxonomy of trejectories (adjustment paths) in the Edgewoth box. Conclusions. The generalized individual consumer surplus generates money metric utility function along monotone (weakly monotone) trajectories in the Edgeworth box. If consumer is a buyer of the first good, I again demonstrate that consumer surplus is presented as an area between the reservation price function and the reallocation line (curve).

Optimal reserve prices for land auctions in Eastern Germany

ABSTRACT Privatization auctions are seen as culprit for rising prices in eastern Germany. This study aims to analyse whether privatization auctions could have earned even higher revenues by setting optimal reserve prices. For this purpose, a structural estimation approach is applied to determine reserve prices and to compare the resulting expected revenues with actual revenues. The data set includes land auctions in eastern Germany from 2005–2019. The empirical results illustrate that room for increasing revenues exists, but reserve prices would be required to be higher than actual land prices. A potential consequence of high reserve prices is the risk of delays in the privatization process.

A meta-heuristic-based energy efficient route modeling for EVs integrating start/stop and recapturing energy effect

The research interest in electric vehicles (EVs) has recently sparked exponentially on account of curbing carbon emissions and paucity of fuel resources. No doubt, these vehicles are ecologically sustainable and move smoothly at a moderate speed that is economical on fuel, but their limited range due to the battery reserve demands an efficient use of energy resources. An immediate solution to overcome this problem lies in regulating the EV route, with optimum energy usage. Thus, this study presents a mathematical model that accounts for vehicle energy consumption with the vehicle’s start/stop energy expenditure. To achieve the objective of maximizing the energy-efficiency, it also introduces Amplified-ACO (A2CO), a routing algorithm based on Ant Colony Optimization (ACO) principles that make use of the probabilistic selection model (DS2 relies on Distance, Speed, and State-of-Charge). This study simulates the proposed model over the real-time map of Chandigarh (India) and provides a comparative study against some of the nature-inspired meta-heuristic approaches such as classical ACO and Particle Swarm Optimization (PSO). The proposed model justifies its significance under various parameters, viz. energy consumption, travel time, total travel distance, and remaining SoC.

Low Power, First Offers, and Reservation Prices: Weak Negotiators are Self‐anchored by Their Own Alternatives

Although most scholars recommend making the first offer in negotiations, recent research and practitioners' experience have uncovered a second‐mover advantage in certain situations. In the current article, we explore this first‐ versus second‐mover dynamic by investigating the circumstances under which negotiators would make less favorable first offers than they would receive were they to move second, focusing on the effects of negotiation power in the form of alternatives. Additionally, we examine the effects of low power on reservation prices and whether these effects could be mitigated using an anchor‐debiasing technique. In Study 1, we manipulated negotiators' power in the form of the best alternative to the negotiated agreement and examined its effect on first offers and reservation prices. Our results showed that low‐power negotiators would receive more favorable first offers than they would have made themselves when facing either low‐ or medium‐power counterparts. Also, our results suggest that low‐power negotiators had less favorable reservation prices than their medium‐ and high‐ power counterparts. In Study 2, we investigated whether this effect would persist in the face of anchor‐debiasing techniques. Our results showed that while anchor‐debiasing techniques did improve their first offers, low‐power negotiators would still benefit from making the counteroffer rather than moving first. Our findings uncover the disadvantageous effects of low power on first‐offer magnitude while offering practical advice to negotiators.

Have the Adjustment Cost and Confidence Concern Lost their Importance in Central Banks' Demand for International Reserves Function?

Why do countries hold international reserves? We study the determinants of the demand for international reserves. First, we apply the plain Buffer Stock Model, then we add shadow exchange rate to account for the asymmetry in the change of international reserves. We find that for the monetary authorities, while opportunity cost is still a crucial issue, it is mainly the adjustment cost and confidence concern that determines the demand for international reserves. This is consistent with the risk averse behaviour of central banks.

The Role of International Reserves in Sovereign Debt Restructuring under Fiscal Adjustment

Highly indebted developing economies commonly also hold large external reserves. This behavior seems puzzling given that governments in these countries borrow with an interest rate penalty to compensate lenders for default risk. Reducing debt to the same extent as reserves would maintain net liabilities constant while decreasing interest payments. However, holding reserves can have insurance benefits in a financial crisis. To rationalize the levels of international reserves and external debt observed in the data, a standard dynamic model of equilibrium default is extended to include distortionary taxation and debt restructuring. This paper shows that fiscal adjustments induced by sovereign default can generate large demand for reserves if taxation is distortionary. At the same time, a non-negligible position in reserves modifies the debt restructuring negotiations upon default. A calibrated version of the model produces recovery rate schedules that are increasing with reserves, as seen in the data, being also able to replicate large positions of reserves and debt to GDP. Finally, I study how both mechanisms play a key quantitative role to generate such result, in fact, not including them, produces a counterfactual demand for reserves that is close to zero.

Reviewing the Efficacy of Federal Reserve Bank Reserve Policies through a Time Series Analysis of the Effective Federal Funds Rate

The Effective Federal Funds Rate (EFFR) is a crucial interest rate that reflects the cost of banks borrowing funds from each other overnight. This rate is a significant indicator of the financial system’s health and stability in the United States. The rate values fluctuate due to various factors, such as changes in monetary policy, supply and demand for reserves, market expectations, events in financial markets, seasonal factors, and changes in regulations. Although it’s challenging to pinpoint the exact factors that cause the variation in this rate, the concepts of time series are employed to identify peak points of such changes. The resulting figures are obtained using R software, and the reviews corresponding to each EFFR value are parallel to the business market incidence in the USA. At the end of this paper, all the EFFR values from the year 2016 to 2021 are included, along with their corresponding reviews.

Equilibrium strategies and pricing for a congested system with opaque price and loss-averse customers

In this paper, we study a service provider with opaque price strategy who sells services to loss-averse customers in a congestion-prone facility. The opaque price strategy means that the service provider discloses a price range of services to potential customers through social media. Loss aversion aims to characterize customers' reference-dependent preferences. We analyze a queueing game model with the help of an M/M/1 queueing system and adopt the cutoff structure characterized by reservation price to represent the loss-averse customers' joining decision. Then, we derive the loss-averse customer's reservation price and queueing strategies at equilibrium. In addition, the service provider sets the price to maximize her profit. We obtain some insights into how customers' degree of loss aversion affects the service provider's optimal price. For example, customers with a higher degree of loss aversion on the waiting time and the payment would push the service provider to decrease the optimal price. Customers with a higher degree of loss aversion about the service reward would urge the service provider to increase the optimal price. Furthermore, considering the attachment effect, we obtain the lowest possible expected profit of the service provider.

Reserve Demand, Interest Rate Control, and Quantitative Tightening

Reserve Demand, Interest Rate Control, and Quantitative Tightening

Reserve Demand Determination Method Considering the Different Time Periods Uncertainty of Wind and Solar

With the gradual realization of China’s 14th Five-Year Plan, the proportion of installed renewable energy capacity in all regions has increased significantly. The access of a high proportion of renewable energy has brought serious challenges to the safe and stable operation of the power system. The uncertainty of wind power and photovoltaic output makes it difficult for the traditional reserve demand determination method to economically and effectively calculate the reserve capacity required by the system, so it is urgent to propose a reasonable reserve capacity demand determination method. On the one hand, it ensures that the deserve capacity needed by the system is sufficient to cope with real-time active fluctuations, and on the other hand, it improves the economy of the reserve capacity. The reserve demand determination method considering the different time periods uncertainty of wind and solar in this paper is able to meet the reserve demand of new power system. At last, the article proves the benefits of Reserve Demand Determination Method through a numerical example.

Reserve Price Preferences and Auction Design

Reserve Price Preferences and Auction Design

Optimal Coordinated Operation for a Distribution Network With Virtual Power Plants Considering Load Shaping

Increasing load demand and renewable energy resource integration will exacerbate the net load profile by enlarging the peak-to-valley difference. Virtual power plant (VPP) technology presents a promising pathway for the efficient energy management of active distribution networks (ADNs) with large-scale distributed energy resources. This paper proposes a bilevel model for the collaborative operation of an ADN with multiple VPPs in a joint energy-reserve market that is organized by a distribution system operator (DSO). In the upper-level problem, the DSO minimizes the total operational cost of the ADN to set the energy and reserve prices for trading with VPPs while considering the network technical constraints and the load shaping performance with reserve participation. In the lower-level problem, VPPs aim to maximize their profits by adjusting bidding quantities according to the price issued by the DSO. Then, the proposed bilevel model is transformed into a tractable single-level optimization problem via the Karush-Kuhn–Tucker optimality conditions and a sequence of reformulation techniques, and an analytical method is designed to calculate the potential losses. Simulation results demonstrate the effectiveness and superiority of the proposed approach in shaping the load profile and improving the system operational economy.

On the Prevalence of Small Reserve Prices in Standard Auctions

On the Prevalence of Small Reserve Prices in Standard Auctions

Comparisons of Auction Designs Through Multiagent Learning in Peer-to-Peer Energy Trading

Distributed energy resources (DERs), such as solar panels, are growing rapidly and reshaping power systems. To promote DERs, utility companies usually adopt feed-in-tariff (FIT) to pay DER owners (aka prosumers) fixed rates for supplying energy to the grid. As an alternative to FIT, consumers and prosumers can trade energy in a peer-to-peer (P2P) fashion. In this paper, we focus on a P2P market using double auctions, in which the payoffs of energy consumers/prosumers are determined by their bids and auction mechanisms. Special features of a P2P energy auction, however, including zero marginal cost and publicly-known reserve prices, may invalidate many theories on auction design and hinder market development. We discuss the impacts of such features on four specific clearing mechanisms: <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$k$ </tex-math></inline-formula> -double, Vickrey, McAfee and maximum volume matching (MVM). Furthermore, we propose an automated bidding framework based on multi-agent, multi-armed bandit learning, in which each agent only needs to utilize their own bidding history to determine how to bid in the next round through certain regret-minimizing algorithms. Numerical results show that the <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$k$ </tex-math></inline-formula> -double and McAfee auction appear to perform better in terms of bidders’ surplus. However, if the auctioneer also requires compensation, MVM can yield the most profit for the auctioneer.

Optimizing Reserve Prices in Display Advertising Auctions

Optimizing Reserve Prices in Display Advertising Auctions