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Uniform Price Market and Behaviour Pattern: What Does the Iberian Electricity Market Point Out?

Marques, Vítor; Soares, Isabel; Fortunato, Adelino
Fonte: FEUC. Grupo de Estudos Monetários e Financeiros Publicador: FEUC. Grupo de Estudos Monetários e Financeiros
Tipo: Trabalho em Andamento
ENG
Relevância na Pesquisa
36.21%
The electricity spot markets can be considered as capacity constrained markets (Kreps and Scheinkman, 1983), where market price definition depends on the quantity strategies. In this theoretical framework, the main target of the present paper is to show to what extent a spot market organized like a Uniform Price Auction (UPA) is naturally inclined to develop anti-competitive practices, in particular through quantity strategies. To achieve this objective, multivariable models are defined for each daily demand period of the Iberian electricity market. Each model correlates the hourly market price change and the bid quantities of the two main Iberian producers (Endesa and Iberdrola), for every summer between 2001 and 2004. To apply those models one has to solve the endogeneity problem. This exercise is also useful to highlight any anti-competitive behaviour. Quantities produced by the producers with infra marginal bids should not be endogenous when there is no risk that they will not be dispatched, unless producers have some expectations about the system marginal price. In addition, this kind of endogeneity reinforces the model’s theoretical assumption that change in the system marginal price stems from quantity strategies. The models present some expectable but interesting results. Those results show that even base load units’ bids may depend on expectations about the system marginal price evolution. Those expectations can reflect market strategies. Therefore...

From Uniform Auction to Discriminatory Auction: Assessment of the Restructuring Proposal for the Italian Electricity Day-Ahead Market

GUERCI, Eric; RASTEGAR, Mohammad Ali
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf; digital
EN
Relevância na Pesquisa
56.78%
In the context of the 2009 debate on reforming the Italian market, a realistic agent-based computational model of the day-ahead market session of the Italian wholesale electricity market is simulated to compare market performances between uniform-price and pay-as-bid clearing mechanisms. An empirical validation of computational results at a macro-level is performed to test for accuracy of simulated outcomes with historical ones. The level of prices are accurately reproduced except for few peak hours. As far as concerns pay-as-bid auction, the computational experiments point out that it results in higher market prices than the uniform-price auction. In the pay-as-bid mechanism, sellers’ endeavours to maximize their profits are more costly thus leading to higher price levels.

The uniform price quality adjusted discount auction for aviation continuation pay : potential benefits to the U.S. Marine Corps

White, Christopher S.
Fonte: Monterey, California. Naval Postgraduate School Publicador: Monterey, California. Naval Postgraduate School
Tipo: Tese de Doutorado
Relevância na Pesquisa
26.65%
This objective of this thesis is to explore the potential benefits realized by the Marine Corps if the current Aviation Continuation Pay (ACP) system is replaced with an auction mechanism that utilizes Quality Adjusted Discount (QUAD) methodology. The Uniform Price Quality Adjusted Discount Auction is designed to reduce the total cost of ACP while simultaneously increasing the overall quality of the aviators being retained. The goal of this study was to evaluate the existing ACP system and through experimentation, coupled with economical analyses, determine the feasibility of replacing the current system of assigning the aviator retention bonus with one that incorporates QUAD methodology. The QUAD auction mechanism caters to a wide range of individual reservation values resulting from various economic conditions. An ACP auction would reflect changing economic conditions, because aviators would reveal their true reservation values when bidding. Although an auction mechanism may not always result in a cost savings, it will ensure that the bonus amounts are set at the correct levels. If a QUAD auction were used in lieu of the current ACP system, Marine Corps manpower planners would have the flexibility to more cost effectively retain higher quality aviators while achieving Marine Corps aviator retention goals.

Application of a Uniform Price Quality Adjusted Discount Auction for Assigning Surface Warfare Officer Retention Bonuses

Nowell, Jason T.
Fonte: Monterey, California. Naval Postgraduate School Publicador: Monterey, California. Naval Postgraduate School
Tipo: Tese de Doutorado
Relevância na Pesquisa
26.54%
Approved for public release, distribution unlimited; This thesis analyzes the potential benefits of implementing a unique auction model that provides community and compensation managers with the ability to control for the quality and quantity of sailors retained. The study utilizes survey data to estimate officers preference parameters and compare the cost, quantity and quality of Surface Warfare Officers (SWO) retained by the current SWO bonus, a standard uniform-price auction, and a quality adjusted discount (QUAD) auction. The results demonstrate efficiency improvements over the current retention system. The thesis supports the findings from previous research on QUAD auctions, and confirms the hypothesis that increases in quality do not necessarily create cost increases. Findings from this thesis can be used in future retention and compensation policies to more cost effectively shape the force while maintaining or enhancing quality.

The Combinatorial Retention Auction Mechanism (CRAM)

Coughlan, Peter; Gates, William; Myung, Noah
Fonte: Monterey, California. Naval Postgraduate School Publicador: Monterey, California. Naval Postgraduate School
Tipo: Relatório
EN_US
Relevância na Pesquisa
36.48%
Approved for public release; distribution is unlimited.; Revised version; We propose a reverse uniform price auction called Combinatorial Retention Auction Mechanism (CRAM) that integrates both monetary and non-monetary incentives (NMIs). CRAM computes the cash bonus and NMIs to a single cost parameter, retains the lowest cost employees and provides them with compensation equal to the cost of the first excluded employee. CRAM is dominant strategy incentive compatible. We provide optimal bidding strategy, and show that there is cost saving compared to a benchmark auction (monetary retention auction). Because CRAM and the benchmark may retain different employees, we provide for whom and under what conditions the utility may increase or decrease by CRAM. Finally, we show that there is an increase in the total social welfare by utilizing CRAM to the benchmark.

Evaluation of aviation career pay incentives among the Naval Aviation enterprise utilizing auction mechanisms

Williams, Brett M.
Fonte: Monterey, California: Naval Postgraduate School Publicador: Monterey, California: Naval Postgraduate School
Tipo: Tese de Doutorado
Relevância na Pesquisa
26.75%
Approved for public release; distribution is unlimited; Naval Aviation utilizes the Aviation Career Continuation Pay (ACCP) as a means to retain qualified aviators to meet manpower requirements. However, the current program has failed to meet targeted retention across communities while overpaying nearly $5,300,000 during FY-2013, according to Eric Kelso. This thesis examines the potential improvements of applying uniform-price auction, Quality Adjusted Discount (QUAD), and CombiNATOrial Retention Auction Mechanism (CRAM) compensation programs to replace the current bonus system. Incorporating survey results from 2,316 naval officers across Navy Aviation, we analyzed the impact that market-based mechanisms would have on quantity, quality, and cost for retained naval aviators. Using these responses, we developed individual quality scores and reservation prices to apply three auction mechanisms to the retention goals and costs of the FY-2013 ACCP program. Our research shows that a market-based auction could include improvements in cost, quality, and particularly quantity of aviators eligible for the Department Head Screen Board. The uniform-price auction meets all retention objectives across Navy Aviation, while reducing costs in some communities by $1...

Investment incentives and auction design in electricity markets

Fabra, Natalia; Fehr, Nils-Henrik M von der; Frutos, María Ángeles de
Fonte: Centre for Economic Policy Research Publicador: Centre for Economic Policy Research
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /01/2008 ENG
Relevância na Pesquisa
36.62%
Motivated by the regulatory debate in electricity markets, we seek to understand how market design affects market performance through its impact on investment incentives. For this purpose, we study a two-stage game in which firms choose their capacities under demand uncertainty prior to bidding into the spot market. We analyse a number of different market design elements, including (i) two commonly used auction formats, the uniform-price and discriminatory auctions, (ii) price-caps and (iii) bid duration. We find that, although the discriminatory auction tends to lower prices, this does not imply that investment incentives at the margin are poorer; indeed, under reasonable assumptions on the shape of the demand distribution, the discriminatory auction induces (weakly) stronger investment incentives than the uniform-price format.

Increasing the effectiveness of Navy retention compensation by evaluating different auction compensation formats

Triplett, Terry W.; Winters, Michael K.
Fonte: Monterey, California: Naval Postgraduate School Publicador: Monterey, California: Naval Postgraduate School
Tipo: Tese de Doutorado
Relevância na Pesquisa
36.75%
Approved for public release; distribution is unlimited; Approved for public release; distribution is unlimited; With the U.S. military under intense scrutiny to cut costs, the Department of Defense must determine ways to use its limited resources more efficiently. One financial incentive ripe for change is the retention bonus. This compensation tool, used by the military to retain highly qualified individuals, could be harnessed more effectively with an auction mechanism for distribution. This thesis studies three different types of auctions, and examines which auction would be utilized best by the government as a retention tool. The three auctions analyzed were a sealed bid-discriminatory auction, a sealed bid-uniform auction and a sequential bid-uniform auction. The results of the experiment showed that discriminatory auctions fared best overall. Sealed bid-discriminatory auctions had a significant savings of 5.1% over sealed bid-uniform auctions and a 10.1% savings over sequential bid-uniform auctions.; Outstanding Thesis; Outstanding Thesis; Lieutenant, United States Navy; Lieutenant Commander, United States Navy

Application of a uniform price quality adjusted discount auction for assigning voluntary separation pay

Pearson, Quincy R.
Fonte: Monterey, California. Naval Postgraduate School Publicador: Monterey, California. Naval Postgraduate School
Tipo: Tese de Doutorado Formato: xviii, 93 p.
Relevância na Pesquisa
26.48%
Approved for public release; distribution is unlimited.; This thesis examined the feasibility of using a quality adjusted auction for retaining quality officers while assigning voluntary separation pay to Marine officers. The study used survey data to set parameters for the auction. Data used in the study was collected from a survey administered to approximately 500 officers assigned to I Marine Expeditionary Force, Naval Postgraduate School and Defense Language Institute. Furthermore, survey data was used to estimate the effects of personal, professional and economic factors on a Marine officer's decision to participate in a voluntary separation program. Results find that a quality adjusted auction for separation can provide cost savings and improve the quality of officers retained. Unlike a retention auction where higher quality officers receive higher retention bonuses, higher quality officers receive lower separation bonuses in a quality adjusted auction for separation. Probit model estimates find that expected civilian pay, personal discount rate, marital status, military occupational specialty and pay grade had a significant effect on the probability of an officer participating in a voluntary separation program. Ordinary least squares estimates find that aviation and combat service support military occupational specialties...

Analysis of bidding behaviors in non-monetary incentivized, real-time uniform auctions

Tiley, Joshua H.
Fonte: Monterey, California. Naval Postgraduate School Publicador: Monterey, California. Naval Postgraduate School
Formato: xvi, 73 p. : ill.; 28 cm.
Relevância na Pesquisa
36.32%
MBA Professional Report; The Navy continually fights economic surge and recession, budget constraints, and natural personnel turnover to maintain personnel levels at desired "end-strength." Forecasting retention bonus levels based on these socio-economic factors is extremely difficult. Current forecasting techniques are less precise than retention auctions because auctions provide the market clearing price to retain the desired end strength. This research examines bidding strategies adopted within a retention auction incorporating monetary and non-monetary retention incentives in a competitive bidding environment. This research compared user inputs across several subjects and determined which subjects to retain. Previous experiments compared participants' bids to computer simulated "optimal" bids; it was hard to say how or if bidding strategies would change if competing with other live players. There are two issues when dealing with optimal bidding strategies. The first is correct choosing non-monetary incentives. We found that 70% of these choices were made correctly. The second involves the salary requested after choosing non-monetary incentives. The salary requests were above the optimal bids. Coupled with the fact that non-monetary incentives were generally chosen correctly...

On the Inefficiency of the Uniform Price Auction

Markakis, Evangelos; Telelis, Orestis
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
26.81%
We present our results on Uniform Price Auctions, one of the standard sealed-bid multi-unit auction formats, for selling multiple identical units of a single good to multi-demand bidders. Contrary to the truthful and economically efficient multi-unit Vickrey auction, the Uniform Price Auction encourages strategic bidding and is socially inefficient in general. The uniform pricing rule is, however, widely popular by its appeal to the natural anticipation, that identical items should be identically priced. In this work we study equilibria of the Uniform Price Auction for bidders with (symmetric) submodular valuation functions, over the number of units that they win. We investigate pure Nash equilibria of the auction in undominated strategies; we produce a characterization of these equilibria that allows us to prove that a fraction 1-1/e of the optimum social welfare is always recovered in undominated pure Nash equilibrium -- and this bound is essentially tight. Subsequently, we study the auction under the incomplete information setting and prove a bound of 4-2/k on the economic inefficiency of (mixed) Bayes Nash equilibria that are supported by undominated strategies.; Comment: Additions and Improvements upon SAGT 2012 results (and minor corrections on the previous version)

Tacit Collusion and Capacity Withholding in Repeated Uniform Price Auctions

Dechenaux, Emmanuel; Kovenock, Dan
Fonte: Conselho Superior de Investigações Científicas Publicador: Conselho Superior de Investigações Científicas
Tipo: Documento de trabajo
ENG
Relevância na Pesquisa
36.59%
This paper contributes to the study of tacit collusion by analyzing infinitely repeated multiunit uniform price auctions in a symmetric oligopoly with capacity constrained firms. Under both the Market Clearing and Maximum Accepted Price rules of determining the uniform price, we show that when each firm sets a price-quantity pair specifying the firm's minimum acceptable price and the maximum quantity the firm is willing to sell at this price, there exists a range of discount factors for which the monopoly outcome with equal sharing is sustainable in the uniform price auction, but not in the corresponding discriminatory auction. Moreover, capacity withholding may be necessary to sustain this out-come. We extend these results to the case where firms may set bids that are arbitrary step functions of price-quantity pairs with any finite number of price steps. Surprisingly, under the Maximum Accepted Price rule, firms need employ no more than two price steps to minimize the value of the discount factor above which the perfectly collusive outcome with equal sharing is sustainable on a stationary path. Under the Market Clearing Price rule, only one step is required. That is, within the class of step bidding functions with a finite number of steps...

Auctions for Government Securities: A Laboratory Comparison of Uniform, Discriminatory and Spanish Designs

Abbink, Klaus; Brandts, Jordi; Pezanis-Christou, Paul
Fonte: Conselho Superior de Investigações Científicas Publicador: Conselho Superior de Investigações Científicas
Tipo: Documento de trabajo
ENG
Relevância na Pesquisa
36.65%
Trabajo publicado como artículo en Journal of Economic Behavior and Organization 61(2): 284-303 (2006).-- http://dx.doi.org/10.1016/j.jebo.2004.12.007; The Bank of Spain uses a unique auction format to sell government bonds, which can be seen as a hybrid of a uniform and a discriminatory auction. For winning bids above the average winning bid, buyers are charged the average winning bid, otherwise they pay their respective bids. We report on an experiment that compares this auction format to the discriminatory format, used in most other countries, and to the uniform format. Our design is based on a common value model with multi-unit supply and two-unit demand. The results show significantly higher revenue with the Spanish and the uniform formats than with the discriminatory one, while volatility of prices over time is significantly lower in the discriminatory format than in the Spanish and uniform cases. Actual price dispersion is significantly larger in the discriminatory than in the Spanish. Our data also exhibit the use of bid-spreading strategies in all three designs.; Financial support by the European Union from a TMR-ENDEAR network grant (FMRX-CT98-0238) and from the Spanish Ministerio de Educación y Cultura (PB98-0465) is gratefully acknowledged.

Asymmetric demand information in uniform and discriminatory call auctions: an experimental analysis motivated by electricity markets

Abbink, Klaus; Brandts, Jordi; McDaniel, Tanga
Fonte: Conselho Superior de Investigações Científicas Publicador: Conselho Superior de Investigações Científicas
Tipo: Documento de trabajo
ENG
Relevância na Pesquisa
36.59%
Trabajo publicado como artículo en Journal of Regulatory Economics 23(2): 125-144 (2003).-- http://dx.doi.org/10.1023/A:1022202929469; We study the outcomes of experimental multi-unit uniform and discriminatory auctions with demand uncertainty. Our study is motivated by the ongoing debate about market design in the electricity industry. Our main aim is to compare the effect of asymmetric demand-information between sellers on the performance of the two auction institutions. In our baseline conditions all sellers have the same information, whereas in our treatment conditions some sellers have better information than others. In both information conditions we find that average transaction prices and price volatility are not significantly different under the two auction institutions. However, when there is asymmetric information among sellers the discriminatory auction is significantly less efficient. These results are not in line with the typical arguments made in favor of discriminatory pricing in electricity industries; namely, lower consumer prices and less price volatility. Moreover, our results provide some indication that discriminatory auctions reduce technical efficiency relative to uniform auctions.

Auctions for government securities : a laboratory comparison of uniform, discriminatory and spanish designs

Abbink, Klaus; Brandts, Jordi; Pezanis-Christou, Paul
Fonte: Universidade Autônoma de Barcelona Publicador: Universidade Autônoma de Barcelona
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em //2006 ENG
Relevância na Pesquisa
26.63%
The Bank of Spain uses a unique auction format to sell government bonds, which can be seen as a hybrid of a uniform and a discriminatory auction. For winning bids above the average winning bid, buyers are charged the average winning bid, otherwise they pay their respective bids. We report on an experiment that compares this auction format to the discriminatory format, used in most other countries, and to the uniform format. Our design is based on a common value model with multi-unit supply and two-unit demand. The results show significantly higher revenue with the Spanish and the uniform formats than with the discriminatory one, while volatility of prices over time is significantly lower in the discriminatory format than in the Spanish and uniform cases. Actual price dispersion is significantly larger in the discriminatory than in the Spanish. Our data also exhibit the use of bid-spreading strategies in all three designs.

Asymmetric demand information in uniform and discriminatory call auctions : an experimental analysis motivated by electricity markets

Abbink, Klaus; Brandts, Jordi; McDaniel, Tanga
Fonte: Universidade Autônoma de Barcelona Publicador: Universidade Autônoma de Barcelona
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em //2006 ENG
Relevância na Pesquisa
26.55%
We study the outcomes of experimental multi-unit uniform and discriminatory auctions with demand uncertainty. Our study is motivated by the ongoing debate about market design in the electricity industry. Our main aim is to compare the effect of asymmetric demand-information between sellers on the performance of the two auction institutions. In our baseline conditions all sellers have the same information, whereas in our treatment conditions some sellers have better information than others. In both information conditions we find that average transaction prices and price volatility are not significantly different under the two auction institutions. However, when there is asymmetric information among sellers the discriminatory auction is significantly less efficient. These results are not in line with the typical arguments made in favor of discriminatory pricing in electricity industries; namely, lower consumer prices and less price volatility. Moreover, our results provide some indication that discriminatory auctions reduce technical efficiency relative to uniform auctions.

Tacit collusion and capacity withholding in repeated uniform price auctions

Dechenauxy, Emmanuel; Kovenock, Dan
Fonte: Universidade Autônoma de Barcelona Publicador: Universidade Autônoma de Barcelona
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em //2006 ENG
Relevância na Pesquisa
26.48%
This paper contributes to the study of tacit collusion by analyzing infinitely repeated multiunit uniform price auctions in a symmetric oligopoly with capacity constrained firms. Under both the Market Clearing and Maximum Accepted Price rules of determining the uniform price, we show that when each firm sets a price-quantity pair specifying the firm's minimum acceptable price and the maximum quantity the firm is willing to sell at this price, there exists a range of discount factors for which the monopoly outcome with equal sharing is sustainable in the uniform price auction, but not in the corresponding discriminatory auction. Moreover, capacity withholding may be necessary to sustain this out-come. We extend these results to the case where firms may set bids that are arbitrary step functions of price-quantity pairs with any finite number of price steps. Surprisingly, under the Maximum Accepted Price rule, firms need employ no more than two price steps to minimize the value of the discount factor

The relevance of a choice of auction format in a competitive environment

Jackson, Matthew O.; Kremer, Ilan
Fonte: Instituto de Tecnologia da Califórnia Publicador: Instituto de Tecnologia da Califórnia
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em /10/2006
Relevância na Pesquisa
36.63%
We examine the relevance of an auction format in a competitive environment by comparing uniform and discriminatory price auctions with many bidders in a private values setting. We show that if the number of objects for sale is small relative to the number of bidders, then all equilibria of both auctions are approximately efficient and lead to approximately the same revenue. When the number of objects for sale is proportional to the number of bidders, then the particulars of the auction format matter. All equilibria of the uniform auction are efficient, while all of the equilibria of the discriminatory auction are inefficient. The relative revenue rankings of the auction formats can go in either direction, depending on the specifics of the environment. These conclusions regarding the efficiency and revenue ranking are in contrast to the previous literature, which focused on the case of independent information across agents.

Modifying the uniform-price auction to eliminate ‘collusive-seeming equilibria’

McAdams, Prof David
Fonte: Manuscript, MIT [www. mit. edu/mcadams/papers/mupa. pdf] Publicador: Manuscript, MIT [www. mit. edu/mcadams/papers/mupa. pdf]
Tipo: Trabalho em Andamento Formato: 270407 bytes; application/pdf
Publicado em //2002 EN_US
Relevância na Pesquisa
36.67%
The uniform-price auction is used in many regional electricity procurement auctions and its “collusive-seeming equilibria” have been linked to potential exercise of market power. Such equilibria do not exist, however, if a small amount of cash is split among rationed bidders. To shed light on what drives this result, I also examine variations in which the auctioneer is able to increase and/or decrease quantity after receiving the bids. “Increasable demand” also eliminates all collusive-seeming equilibria. These results suggest ways to modify the uniform-price auction in order to reduce the potential exercise of market power.

Uniform-Price Auctions with Adjustable Supply

McAdams, Prof David
Fonte: SSRN eLibrary Publicador: SSRN eLibrary
Tipo: Artigo de Revista Científica Formato: 239352 bytes; application/pdf
Publicado em //2006 EN_US
Relevância na Pesquisa
26.55%
form-price auction with adjustable supply, the seller decides how much to sell after receiving the bids so as to maximize its ex post profit. Given N bidders and adjustable supply, all equilibria of the uniform-price auction lead to price on order 1/N3 below the Walrasian price. By contrast, given the usual market-clearing rule it is well-known that the uniform-price auction can lead to equilibrium prices on order 1/N below the Walrasian price.