We study a family of mean field games with a state variable evolving as a multivariate jump–diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity ...function. All coefficients, i.e. drift, volatility and jump size, are controlled. Under fairly general conditions, we establish existence of a solution in a relaxed version of the mean field game and give conditions under which the optimal strategies are in fact Markovian, hence extending to a jump–diffusion setting previous results established in Lacker (2015). The proofs rely upon the notions of relaxed controls and martingale problems. Finally, to complement the abstract existence results, we study a simple illiquid inter-bank market model, where the banks can change their reserves only at the jump times of some exogenous Poisson processes with a common constant intensity, and provide some numerical results.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
Peer-to-peer, community or collective self-consumption, and transactive energy markets offer new models for trading energy locally. Over the past five years, there has been significant growth in the ...amount of academic literature examining how these local energy markets might function. This systematic literature review of 139 peer-reviewed journal articles examines the market designs used in these energy trading models. A modified version of the Business Ecosystem Architecture Modelling framework is used to extract market model information from the literature, and to identify differences and similarities between the models. This paper examines how peer-to-peer, community self-consumption and transactive energy markets are described in current literature. It explores the similarities and differences between these markets in terms of participation, governance structure, topology, and design. This paper systematises peer-to-peer, community self-consumption and transactive energy market designs, identifying six archetypes. Finally, it identifies five evidence gaps which require future research before these markets could be widely adopted. These evidence gaps are the lack of: consideration of physical constraints; a holistic approach to market design and operation; consideration about how these market designs will scale; consideration of information security; and, consideration of market participant privacy.
•Systematic review of the market models in 139 peer-reviewed journal articles.•Six archetypal market designs and three archetypal price formation mechanisms.•Analysis of the value, scale and participants in P2P, CSC and TE markets.•Discussion of five major research gaps in the field of P2P, CSC and TE markets.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
Proton exchange membrane water electrolysis (PEMWE) is a key technology for future sustainable energy systems. Proton exchange membrane (PEM) electrolysis cells use iridium, one of the scarcest ...elements on earth, as catalyst for the oxygen evolution reaction. In the present study, the expected iridium demand and potential bottlenecks in the realization of PEMWE for hydrogen production in the targeted GW a−1 scale are assessed in a model built on three pillars: (i) an in-depth analysis of iridium reserves and mine production, (ii) technical prospects for the optimization of PEM water electrolyzers, and (iii) PEMWE installation rates for a market ramp-up and maturation model covering 50 years. As a main result, two necessary preconditions have been identified to meet the immense future iridium demand: first, the dramatic reduction of iridium catalyst loading in PEM electrolysis cells and second, the development of a recycling infrastructure for iridium catalysts with technical end-of-life recycling rates of at least 90%.
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•First feasibility-study on iridium supply and demand for hydrogen economy.•Linking iridium production and recycling with technical prospects for catalyst loading.•Providing a technology specific iridium demand model for PEM water electrolysis.•Scenario analysis of large-scale PEM water electrolysis future market development.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
In this article we derive partial differential equations (PDEs) for pricing interest rate derivatives under the generalized Forward Market Model (FMM) recently presented by A. Lyashenko and F. ...Mercurio in 1 to model the dynamics of the Risk Free Rates (RFRs) that are replacing the traditional IBOR rates in the financial industry. Moreover, for the numerical solution of the proposed PDEs formulation, we develop some adaptations of the finite differences methods developed in 2 that are very suitable to treat the presence of spatial mixed derivatives. This work is the first article in the literature where PDE methods are used to value RFR derivatives. Additionally, Monte Carlo-based methods will be designed and the results are compared with those obtained by the numerical solution of PDEs.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
Electricity system models are widely used to study future designs of power markets. They are commonly used to represent electricity dispatch decisions but struggle to reproduce realistic variation in ...prices. We show that current assumption of generators bidding their average variable cost (AVC) underestimates the spread and volatility of hourly wholesale prices.While existing models can accurately estimate the revenues of conventional (thermal) generators, they fail with the revenues of next-generation technologies such as storage and merchant transmission. Imperfect competition makes market prices differ from the theoretical optimum. In this paper we present a bottom-up electricity market model for Europe called EuroMod: a deterministic linear optimization in GAMS which models generation, storage and transmission dispatch at hourly resolution for European markets connected using net transfer capacities. Two additions are tested for their ability to improve wholesale price formation: a simple modification to the short-run marginal cost approach that allows generators to make bids which diverge from AVC; and a post-optimizer transformation of prices with respect to demand net of renewables. These corrections improve both the representation of prices and dispatch decisions across European markets, and reduce errors by 40% for prices, 6% for power station revenues, between 24% to 33% for energy storage profits, and 43% for the median arbitrage value of interconnectors when compared to traditional linear models.
•New power market model with non-linear cost function to improve accuracy of prices.•Traditional linear models greatly underestimate revenues for storage and transmission.•EuroMod improves the representation of price volatility, reducing price errors by 40%.•Demonstrated across 27 European power markets and multiple years (2017–2020).•Yields 24–43% improvement in modelled revenues from spatial and temporal arbitrage.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
With a sample of 49 stock market indices of the developed and emerging markets in the world using the standard event methodology, this paper aims to examine the impacts of the 2019-nCoV outbreak on ...the global stock markets. Previous studies have supported that macroeconomic news and firm-specific news do impact the stock market returns. This study provides evidence for global stock market reactions to epidemics. The study concludes that the 2019-nCoV outbreak has significantly impacted the global stock markets with the Asian stock markets being hit the hardest. Further, the study also analyzed the impacts of lockdowns/restrictions imposed by the economies to contain the 2019-nCoV outbreak. This study evidences that early lockdowns/restrictions imposed by the nations have yielded positive results in containing the spread of the novel coronavirus, thus, rebuilding the investor’s confidence and sharp reversal in the stock market returns. The statistical results establish a high and moderate negative correlation between the cumulative abnormal returns (CARs) and the cumulative cases and deaths both country-wise and that of the world indicating that the cross-country variation in the evolution of cases and fatality rates led to such stock market reactions impacting the market sentiments and anticipation for the future.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
•Systematic comparison of five large-scale electricity market models.•Analysis of the effects of two coal phase-out strategies.•Application of a method for the identification of model ...differences.•Provides general takeaways for both modellers and policymakers.•Implications regarding three dimensions (generation adequacy, economic efficiency and environmental sustainability of power supply)
Climate target achievement has a crucial influence on the modelling and the decision processes in the energy sector. It has motivated the development of several policy instruments to mitigate greenhouse gas emissions, including administrative and market-based mechanisms for phasing out coal-fired generation technologies. In order to analyse such instruments, electricity market and energy system models are widely used. However, the results and the corresponding recommendations largely depend on the formulation of the respective model. This motivates a systematic comparison of five large-scale electricity market models which are applied to European scenarios with a focus of the analysis on Germany considering the period until 2030. A method for the identification of model differences is proposed to analyse the effects of two coal phase-out strategies. This contribution expands on earlier studies and provides some more general takeaways for both modellers and decision-makers. For instance, our analysis demonstrates the influence of the reference scenario on evaluating a policy instrument. Furthermore, the importance of technical aspects, such as the constraints for combined heat and power plants, are discussed, and implications regarding three dimensions (the generation adequacy, economic efficiency and environmental sustainability of power supply) are presented.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
It is increasingly recognized that a transition to sustainable finance is crucial to scale up the low-carbon investments needed to achieve the global climate targets. A main barrier to portfolios' ...decarbonization is the lack of conclusive evidence on whether low-carbon investments add value to a portfolio, and on whether markets react to climate announcements by rewarding (penalizing) low-carbon (carbon-intensive) assets. To fill this gap, we develop an empirical analysis of the low-carbon and carbon-intensive indices for the EU, US and global stock markets. We test if financial markets are pricing the Paris Agreement (PA) by decreasing (increasing) the systematic risk and increasing (decreasing) the portfolio weights of low-carbon (carbon-intensive) indices afterwards. We find that after the PA the correlation among low-carbon and carbon-intensive indices drops. The overall systematic risk for the low-carbon indices decreases consistently, while stock markets' reaction is mild for most carbon-intensive indices. Moreover, the weight of the low-carbon indices within an optimal portfolio tends to increase after the PA. This evidence suggests that stock market investors have started to consider low-carbon assets as an appealing investment opportunity after the PA but have not penalized yet carbon-intensive assets.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
Carbon emission rights (CER) are a market mechanism adopted to reduce carbon dioxide emissions. In this paper, a decentralized market model integrating electricity and CER trading is established for ...a microgrid. The proposed trading model not only satisfies the demand for transactions but also ensures the constraint of total carbon emissions for the microgrid. Energy storage (ES) is introduced to balance loads more economically, and the constraint specifying that the ES cannot be simultaneously charged and discharged is proven to be satisfied automatically, ensuring the convexity of the model. Furthermore, by inserting local trackers to global constraints for each node, a scalable fully distributed algorithm is designed to solve the model locally for both global equality and inequality constraints. The proposed algorithm decomposes the arithmetic demand to each user without intermediate agents, which can effectively reduce the cost and ensure the transparency of trading. The algorithm is also proven to be convergent. Numerical results verify the effectiveness of the proposed market model.
•Green technology investment under a market model is studied.•Analyse the behavior strategies of supply chain platform stakeholders.•Impact of government subsidies on green tech investments is ...observed.•Government subsidies to consumers generates more incentives than manufacturers.
With an increasing emphasis on sustainability and environmental conservation in recent years, a discernible global paradigm shift has occurred. This transformation has engendered a heightened interest in advancing the adoption and integration of green technologies across a spectrum of sectors, including supply chains. The main objective of this research is to analyze how stakeholder participation in the adoption of environmentally friendly practices can be strengthened in an appropriate platform supply chain environment. Firstly, this paper considers the impact of government subsidies and green technology investment on manufacturers, the government, and consumers in the supply chain market model. Secondly, a three-party evolutionary game model is constructed for the government, manufacturers, and consumers, and the equilibrium results are analyzed. In order to further uncover the factors influencing the cooperation of these parties, we conducted sensitivity analyses on two parameters: government subsidies and government subsidies for consumers to purchase green products. The principal findings can be summarized as follows: (1) Government subsidies wield a positive influence on the behavioral strategies of the three entities, motivating manufacturers to invest in green technology and propelling consumers towards the adoption of green products. (2) In comparison to direct subsidies bestowed upon manufacturers, an amplification of government subsidies for consumers exerts a more profound impact in spurring manufacturers to invest in green technology. These insights also furnish a deeper understanding of the decision-making mechanisms employed by stakeholders within the green supply chain.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
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