کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
11032317 | 1645626 | 2018 | 31 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Limits to arbitrage in electricity markets: A case study of MISO
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Limits to arbitrage in electricity markets: A case study of MISO Limits to arbitrage in electricity markets: A case study of MISO](/preview/png/11032317.png)
چکیده انگلیسی
We study the case of financial traders in the Midwest electricity market, where they are expected to arbitrage price differences that result in inefficiencies. Using exogenous variation in financial trading from the financial crisis and a period of high transaction costs, we show speculators had only a weak effect. Moreover, while arbitrage was restricted by transaction costs imposed by regulation, some financial players bet in exactly the opposite direction of the pricing gap, sustaining large losses while doing so. We show this is consistent with price manipulation intended to increase the value of a related instrument that bets on local price differences (FTRs).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 75, September 2018, Pages 518-533
Journal: Energy Economics - Volume 75, September 2018, Pages 518-533
نویسندگان
John R. Birge, Ali Hortaçsu, Ignacia Mercadal, J. Michael Pavlin,