Journal of Energy Markets
ISSN:
1756-3607 (print)
1756-3615 (online)
Editor-in-chief: Derek W. Bunn
Representing the effects of oligopolistic competition on risk-neutral prices in power markets
Miguel Vazquez and Julian Barquin
Abstract
ABSTRACT
Forward transactions are becoming increasingly important in most electricity markets. From this perspective, this paper develops a methodology able to capture the complexities of power markets and incorporate them into the framework of risk-neutral probabilities. This is done using a model that splits up the power price dynamics into two different components: a component aimed at representing costs and market power, which will be based on a static, noncooperative game, and a component representing short-term deviations from the static model.
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