Nash equilibrium for coupling of CO2 allowances and electricity markets
| Autor: | Mireille Bossy, Nadia Maïzi, Odile Pourtallier |
|---|---|
| Přispěvatelé: | TO Simulate and CAlibrate stochastic models (TOSCA), Inria Sophia Antipolis - Méditerranée (CRISAM), Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Institut Élie Cartan de Lorraine (IECL), Université de Lorraine (UL)-Centre National de la Recherche Scientifique (CNRS)-Université de Lorraine (UL)-Centre National de la Recherche Scientifique (CNRS), Centre de Mathématiques Appliquées (CMA), Mines Paris - PSL (École nationale supérieure des mines de Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL), Constraints solving, optimization and robust interval analysis (COPRIN), Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-École des Ponts ParisTech (ENPC), This work was partly supported by Grant 0805C0098 from ADEME, MINES ParisTech - École nationale supérieure des mines de Paris |
| Jazyk: | angličtina |
| Rok vydání: | 2014 |
| Předmět: |
FOS: Economics and business
TheoryofComputation_MISCELLANEOUS Computer Science::Computer Science and Game Theory Quantitative Finance - Trading and Market Microstructure TheoryofComputation_GENERAL InformationSystems_MISCELLANEOUS [QFIN.TR]Quantitative Finance [q-fin]/Trading and Market Microstructure [q-fin.TR] Trading and Market Microstructure (q-fin.TR) |
| Zdroj: | ESAIM: Proceedings ESAIM: Proceedings, 2014, Congrès SMAI 2013, 45, September 2014, pp.98-107 ESAIM: Proceedings, EDP Sciences, 2014, Congrès SMAI 2013, 45, September 2014, pp.98-107 HAL |
| ISSN: | 1270-900X |
| Popis: | International audience; In this note, we present an existence result of a Nash equilibrium between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity production. We set out a clear Nash equilibrium that can be used to compute equilibrium prices on both markets as well as the related electricity produced and CO2 emissions covered. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|