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Testing for Market Efficiency with Transactions Costs: An Application to Convergence Bidding in Wholesale Electricity Markets
Market Efficiency Transactions Cost
2015/7/31
With risk neutral traders and zero transactions costs, the expected value of the
di erence between the current forward price and the spot price of a commodity at the
delivery date of the forward con...
Symmetric Treatment of Load and Generation: A Necessary Condition for Demand Response to Benefit Wholesale Market Efficiency and Manage Market Efficiency and Manage Intermittency
Load and Generation Manage Intermittency
2015/7/31
Outline of Talk • Dynamic Pricing
versus
Time-of-Use Pricing
• Symmetric treatment of load and generation
• A necessary condition for realizing
the benefits of dynamic pricin...
We propose to study market efficiency from a computational viewpoint. Borrowing from
theoretical computer science, we define a market to be efficient with respect to resources S
(e.g., time, memory)...