Gulpinar, Nalan and Oliveira, F. S. (2014) Analysis of relationship between forward and spot markets in oligopolies under demand and cost uncertainties. Computational Management Science, Volume 11 (Number 3). pp. 267-283. doi:10.1007/s10287-014-0217-7 ISSN 1619-697X.

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Abstract

In this paper, we consider interaction between spot and forward trading under demand and cost uncertainties, deriving the equilibrium of the multi-player dynamic games. The stochastic programming and worst-case analysis models based on discrete scenarios are developed to analyze the impact of demand uncertainty and risk aversion on oligopoly (forward and spot) markets’ structure in terms of the forwards and spot pricing, traded quantities and production. A real case of the Iberian electricity market is studied to illustrate performance of the models. The numerical experiments show that cost uncertainty impacts on the strategic decisions more than demand uncertainty.

Item Type:	Journal Article
Divisions:	Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	Computational Management Science
Publisher:	Springer
ISSN:	1619-697X
Official Date:	July 2014
Dates:	Date Event July 2014 Published
Volume:	Volume 11
Number:	Number 3
Page Range:	pp. 267-283
DOI:	10.1007/s10287-014-0217-7
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access

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