Biblioteca Digital

A comercialização da energia elétrica por parte de empresas geradoras que já possuem suas usinas construídas é um tema de grande relevância no setor. A dificuldade em definir a estratégia de venda desta energia, dentre as opções disponíveis no atual modelo regulatório, torna necessário o desenvolvimento de metodologias e ferramentas que auxiliem na tomada de decisão, contabilizando as expectativas e riscos destas decisões. A metodologia com ferramental associado apresentada neste trabalho foi desenvolvida com base em conceitos amplamente utilizados no mercado financeiro para a formação de portfólio de ativos, aliados ao conceito basilar de utilidade das geradoras de energia elétrica, permitindo quantificar a predisposição à tomada de risco e a estruturação de informações públicas dos agentes do setor para a definição de perfis de geradores em relação à estratégia de venda de energia. A contribuição central deste trabalho reside na proposta de uma metodologia que define a melhor estratégia de participação em leilões de energia existente para geradores.; The energy trading activity for Generation Companies (Gencos) owning operating existing power plants is a topic of great relevance in the industry. The difficulty to define the energy selling strategy...

We examine a stylized version of EPA auctions when agents know the list of values of sellers and buyers. Sellers and buyers behave strategically. We show that there are two types of equilibria: inefficient equilibria where no goods are traded and efficient equilibria where alI exchange occurs at a uniform price. We also provide examples of the EPA auction game under incomplete information when the uniform price equilibrium holds and when it does not hold. When the uniform price equilibrium holds, sellers shade their bids up and buyers shade their bids down. In the example where the uniform price equilibrium does not hold, both buyers and sellers shade their bids down in an equilibrium.

Leilões são empregados na comercialização de energia elétrica brasileira por se tratarem de mecanismos rápidos, seguros e eficientes para a alocação de bens. O objetivo do trabalho é sugerir uma possível implementação de um leilão combinatório como um mecanismo de investimento em novos empreendimentos de geração na exploração das complementaridades entre as fontes. A partir da visão de um participante do mecanismo, uma otimização de portfólio com diferentes empreendimentos de geração de energia é realizada na busca da combinação que minimize os riscos de exposição do agente ao PLD. Escolhido o portfólio ótimo, uma avaliação de lances é feita através do método de Monte Carlo na busca da distribuição dos lances prováveis no jogo, de forma a embasar a tomada de decisão do participante na competição contra seus adversários. A combinação de fontes complementares contribui na diminuição dos riscos de exposição ao preço spot, atuando principalmente numa melhora do valor de lances para agentes avessos ao risco relacionado às oscilações de preços do mercado.; Auctions are used in the Brazilian electricity market for being a rapid, safe and efficient method for allocation of goods. The objective of this work is to suggest a possible implementation of a combinatorial auction as a mechanism for investment in new generation projects by the exploitation of the existing complementarities between sources. From the perspective of a participant of the mechanism...

The purpose of this paper is to contribute to the multiple-units auction literature, by testing the performance of the dynamic Vickrey auction (the Ausubel model), in an experimental setting, representing the functioning of an emission permits market with an Ausubel auction for the initial allocation of permits. Other features of the experiment include the possibility of banking and the inclusion of uncertainty, and the parameters were set so as to replicate an environment similar to the EU-ETS market. Our results reveal that emission permits are not exactly allocated as theoretically predicted in the Ausubel auction although the differences are not statistically significant. Comparison of our results with previous experimental studies on the same auction mechanism, although under very different conditions, indicate no relevant differences exist on the Ausubel auction performance, which is an important policy indication when decisions are being taken on the implementation of several auctions for multiple units, namely in the context of the EU-ETS.; Fundação para a Ciência e a Tecnologia (FCT); We thank FCT for research support under grant POCTI/ECO/45435/02. Financial support from NIMA is also appretiated.

Multiattribute auctions extend traditional auction settings to allow negotiation over nonprice attributes such as weight, color, and terms of delivery, in addition to price and promise to improve market efficiency in markets with configurable goods. This paper provides an iterative auction design for an important special case of the multiattribute allocation problem with special (preferential independent) additive structure on the buyer value and seller costs. Auction Additive&Discrete provides a refined design for a price-based auction in which the price feedback decomposes to an additive part with a price for each attribute and an aggregate part that appears as a price discount for each supplier. In addition, this design also has excellent information revelation properties that are validated through computational experiments. The auction terminates with an outcome of a modified Vickrey-Clarke-Groves mechanism. This paper also develops Auction NonLinear&Discrete for the more general nonlinear case-a particularly simple design that solves the general multiattribute allocation problem, but requires that the auctioneer maintains prices on bundles of attribute levels.; Engineering and Applied Sciences

Auctions may be an appropriate way to reorganize the liabilities of some overindebted East Asian firms - those that are generally well run, for which there is merit in keeping the existing owners in place, but for which conventional bankruptcy procedures are proving too slow. This Note proposes an auction scheme dubbed Accord - for Auction-based Creditor Ordering by Reducing Debts. Firms pay creditors in sequence as their operating cash flows permit rather than on a promised schedule. Creditors bid for position in the queue by the proportion of debt they forgive, choosing between smaller or more deferred repayments. The outcome: a firm with serviceable debt, controlled by existing owners with an incentive to operate it efficiently.

This paper employs a simple model to describe bidding behavior in multi-unit uniform price procurement auctions when firms are capacity constrained. Using data from the New York City capacity auctions, I find that capacity constrained firms use simple bidding strategies to co-ordinate on an equilibrium that extracts high rents for all bidders. I show theoretically and empirically that the largest bidder submits the auction clearing bid. All other bidders submit infra-marginal bids that are low enough to not be profitably undercut. Infra-marginal bidders react to capacity endowments and decrease their bids as the largest firm’s capacities and its profits of undercutting increase. Capacity markets, when designed as studied here, are a costly tool to increase security of supply in electricity markets, as capacity prices do not reflect actual capacity scarcity.

The increasing use of auctions has led to a growing interest in the subject. The objective of this paper is to develop a genetic algorithm to find optimum bidding strategies for Ausubel auctions. The algorithm provides the strategy (defined as the action to be taken under different market conditions) that maximizes pay off to the bidder. The algorithm is tested under a series of scenarios that differ in their composition of utility functions, number of bidders and quantity of lots auctioned. The results suggest that the approach leads to strategies that outperform sincere bidding systems.; This article has been financed by the Spanish founded research MCyT project TRACER, Ref: TIC2002-04498-C05-04; Proceeding of: The fourth IEEE International Workshop WSTST ’05, Muroran, Japan, 25 - 27 May, 2005

Several regulatory authorities worldwide have recently imposed forward contract obligations on electricity producers as a way to mitigate their market power. In this paper we investigate how such contractual obligations affect equilibrium bidding in electricity markets, or in any other auction-based market. For this purpose, we introduce forward contracts in a uniform-price multi-unit auction model with complete information. We find that forward contracts are pro-competitive when allocated to relatively large and efficient firms; however, they might be anti-competitive otherwise. We also show that an increase in contract volume need not always be welfare improving. From a methodological point of view, we aim at contributing to the literature on multiunit auctions with discrete bids.

Equilibria are constructed for classes of game models of sequenced second-price auctions having identical common-valued objects In some of these the equilibrium price falls on average, and in others the seller loses on average by committing to announce publicly something that he knows. Both of these possibilities are surprises.

The literature has demonstrated that second-price common-value auctions are sensitive to the presence of asymmetries among bidders. Bikhchandani (1988) has shown that if it is common knowledge that a bidder has a disadvantage compared to her opponent, this bidder (almost surely) never wins the auction. This paper is the first to show that this result does not carry through when one allows for two-sided uncertainty. Whe show that even if the probabilities that one of the bidders is advantaged while the other one is disadvantaged are arbitrarily large, in every equilibrium, the disadvantaged bidder needs to win the auction with strictly positive probability. We then solve for the equilibria in two cases (one with two types and another with a continuum of types) and we characterize their expected revenues properties. We find that although they underperform relative to "comparable" symmetric auctions, they perform much better than what it is "assumed" in the literature.

The translation of statements from auctions to procurements is not always straightforward. We define a duality relationship between them and provide the appropriate transformations needed for establishing it. Additionally, we prove that affiliation is preserved under these transformations and establish the linkage principle for procurements.; Suggestions from V. Krishna are appreciated. Financial support from MCI (SEJ2007/04339/001) is gratefully acknowledged

The allocation of public goods such as the radio spectrum is a difficult task that the government must face. Currently, auctions are becoming an important tool to deal with this duty. In this context, the rules that the auctioneer establishes are particularly relevant, as the final outcome depends on them. When auctioning many related items, such as spectrum licenses, the bidders’ values for one item may depend on the number of items already obtained (complements and substitutes items). In such circumstances, combinatorial auctions are the most appropriate alternative for allocating lots. This paper analyzes the implications of selecting a particular pricing mechanism on the final result in a combinatorial sealed-bid auction. The following pricing rules are selected: the first-price mechanism, the Vickrey–Clarke–Groves (VCG) mechanism, and the bidder–Pareto–optimal (BPO) core mechanism, a core-selecting auction. To test these pricing rules, a simulator of the auction model has been developed. Then, to tackle the complex problem of simulating bidders’ behavior, a co-evolutionary system has been designed to identify improved strategies. The results revealed that the first-price mechanism yields inefficient outcomes and a notable reduction in the seller's revenues. Both the VCG and BPO mechanisms yield outcomes that are closer to the efficient allocation...

Collusive equilibria exist in open ascending auctions with multiple objects, if the number of bidders is sufficiently small relative to the number of objects, even with large complementarities in the buyers' utility functions. The bidders collude by dividing the objects among themselves, while keeping the prices low. Hence the complementarities are not realized.

We study the impact of public and secret reserve prices in auctions where buyers have independent private values and heterogeneous entry costs. We find that in a standard auction the optimal (i.e., revenue maximizing) public reserve price is typically above the seller's value. Moreover, an appropriate entry fee together with a public reserve price equal to the seller's value generates greater revenue. Secret reserve prices, however, differ across auction formats. In a second-price sealed-bid auction the secret reserve price is above the optimal public reserve price; hence there is less entry, a smaller probability of sale, and both the seller revenue and the bidders' utility are less than with an optimal public reserve price. In contrast, in a first-price sealed-bid auction the secret reserve is equal to the seller's value, and the bidders' expected utility (seller revenue) is greater (less) than with an optimal public reserve price.

Gas markets based on virtual hubs has been the preferred EU design. Such market designs are based on socializing network flexibility services. Nonetheless, shippers have different preferences about the network flexibility, which are not reflected in current allocation models. We propose the introduction of auction mechanisms to deal with network service allocation in the short term. The auction aims to represent simultaneously the diversity of players' preferences and the trade-offs implied by network constraints. Two sealed-bid auctions are proposed. On the one hand, an auction with one product allocates network services through the minimization of gas price differences. On the other, a multi-product (gas and line-pack storage) auction is designed to facilitate the revelation of preferences on line-pack storage.

In the EU, gas markets are based on socializing network flexibility services. However, shippers have different preferences on network flexibility, which are not reflected in current allocation models. We propose the introduction of auction mechanisms to allocate network services in the short run. The auction aims to represent simultaneously the diversity of players' preferences and the trade-offs implied by network constraints. Two sealed-bid auctions are proposed: (a) an auction based on bids for gas, which allocates network services through the minimization of gas price differences; (b) an auction with explicit bids for line-pack, which allows shippers' valuation of line-pack storage.

This thesis studies issues in auctions and contests. The seller of an object and the organizer of a contest have many instruments to improve the revenue of the auction or the efficiency of the contest. The three essays in this dissertation shed light on these issues. Chapter 2 investigates how a refund policy affects a buyer's strategic behavior by characterizing the equilibria of a second-price auction with a linear refund policy. I find that a generous refund policy induces buyers to bid aggressively. I also examine the optimal mechanism design problem when buyers only have private initial estimates of their valuations and may privately learn of shocks that affect their valuations later. When all buyers are \emph{ex-ante} symmetric, this optimal selling mechanism can be implemented by a first-price or second-price auction with a refund policy. Chapter 3 investigates how information revelation rules affect the existence and the efficiency of equilibria in two-round elimination contests. I establish that there exists no symmetric separating equilibrium under the full revelation rule and find that the non-existence result is very robust. I then characterize a partially efficient separating equilibrium under the partial revelation rule when players' valuations are uniformly distributed. I finally investigate the no revelation rule and find that it is both most efficient and optimal in maximizing the total efforts from the contestants. Within my framework...

Trabajo publicado como artículo en Economics Letters 95(2): 167-173 (2007).-- http://dx.doi.org/10.1016/j.econlet.2006.09.028; Oral, right-to-choose auctions raise higher revenue when buyers are risk averse. When standard sequential and right-to-choose auctions allocate the objects en the same fashion, this means that sellers prefer the latter, which is consistent with normal practice in sales of real estate, for instance. Prices follow a declining pattern, as has also been observed.

Auctions and trading in energy markets -- an economic analysis