Equilibria of a two-stage market with chance outcome in the spot market

被引：0
|
作者：
Vasin A.A. [1 ]
Sharikova A.A. [1 ]
机构：
[1] Department of Computational Mathematics and Cybernetics, Moscow State University
来源：
Moscow University Computational Mathematics and Cybernetics | 2011年 / 35卷 / 1期
基金：
俄罗斯基础研究基金会;
关键词：
arbitrageurs; Curnout auction; equilibrium; forward market;
D O I：
10.3103/S0278641911010067
中图分类号：
学科分类号：
摘要：
We address the problem of how to improve the efficiency of markets of similar goods (electric power, gas, and other resources). One way to undermine the market dominance of some companies is the possibility of forward contracts. Here a model of the spot and forward markets functioning as Curnout auctions is studied using the example of symmetrical oligopoly. Suppliers try to maximize their profit by this two-stage game's strategies of traded subgame equilibrium (TSE). The conditions for equilibrium achieved by correlated mixed strategies are elucidated: either a "bull" or "bear" market is established according to a chance factor. The optimum strategies of rational bidders are found to depend on the reserve price and a risk-avoiding parameter. TSE is compared to the Nash equilibria for one-stage models. © 2011 Allerton Press, Inc.
引用
收藏
页码：47 / 55
页数：8
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