Given the role electricity and natural gas sectors play in the North American economy, an understanding of how markets for these commodities interact is important. This dissertation independently characterizes the price dynamics of major electricity and natural gas spot markets in North America by combining directed acyclic graphs with time series analyses. Furthermore, the dissertation explores a generalization of price difference bands associated with the law of one price. Interdependencies among 11 major electricity spot markets are examined in Chapter II using a vector autoregression model. Results suggest that the relationships between the markets vary by time. Western markets are separated from the eastern markets and the Electricity Reliability Council of Texas. At longer time horizons these separations disappear. Palo Verde is the important spot market in the west for price discovery. Southwest Power Pool is the dominant market in Eastern Interconnected System for price discovery. Interdependencies among eight major natural gas spot markets are investigated using a vector error correction model and the Greedy Equivalence Search Algorithm in Chapter III. Findings suggest that the eight price series are tied together through sixlong-run cointegration relationships, supporting the argument that the natural gas market has developed into a single integrated market in North America since deregulation. Results indicate that price discovery tends to occur in the excess consuming regions and move to the excess producing regions. Across North America, the U.S. Midwest region, represented by the Chicago spot market, is the most important for price discovery. The Ellisburg-Leidy Hub in Pennsylvania and Malin Hub in Oregon are important for eastern and western markets. In Chapter IV, a threshold vector error correction model is applied to the natural gas markets to examine nonlinearities in adjustments to the law of one price. Results show that there are nonlinear adjustments to the law of one price in seven pair-wise markets. Four alternative cases for the law of one price are presented as a theoretical background. A methodology is developed for finding a threshold cointegration model that accounts for seasonality in the threshold levels. Results indicate that dynamic threshold effects vary depending on geographical location and whether the markets are excess producing or excess consuming markets.

When a cloud user allocates a cluster to execute a map-reduce workload, the user must determine the number and type of virtual machine instances to minimize the workload's financial cost. The cloud user may rent on-demand instances at a fixed price or spot instances at a variable price to execute the workload. Although the cloud user may bid on spot virtual machine instances at a reduced rate, the spot market auction may delay the workload's start or terminate the spot instances before the workload completes. The cloud user requires a forecast for the workload's financial cost and completion time to analyze the trade-offs between on-demand and spot instances. While existing estimation tools predict map-reduce workloads' completion times and costs, these tools do not provide spot instance estimates because a spot market auction determines the instance's start time and duration. The ephemeral spot instances impact execution time estimates because the spot market auction forces the map-reduce workloads to use different storage strategies to persist data after the spot instances terminate. The spot market also reduces the existing tools' completion time and cost estimate accuracy because the tool must factor in spot instance wait times and early terminations. This dissertation updated an existing tool to forecast map-reduce workload's monetary cost and completion time based on spot market historical traces. The enhanced estimation tool includes three new enhancements over existing tools. First, the estimation tool models the impact to the execution from new storage strategies. Second, the enhanced tool calculates additional execution time from early spot instance termination. Finally, the enhance tool predicts the workloads wait time and early termination probabilities from historic traces. Based on two historical Amazon EC2 spot market traces, the enhancements reduce the average completion time prediction error by 96% and the average monetary cost prediction error by 99% over existing tools.

In the first chapter, we propose a new method for modeling competition in electricity spot markets, namely, by approximating the supply functions of the competitors with cubic splines. We argue that this method is preferable to approximation by linear or piecewise-affine functions, which have been the main approaches to date. We apply our method to the firms competing in the Texas market. We also show that, more often than not, we will observe that the marginal revenue functions of the firms will have increasing segments which may lead to multiple profit-maximizing optima for a firm. In the second chapter, we model the effects of forward contracting on power prices in wholesale electricity markets. In contrast to most of the previous literature, we explicitly model power retailers, and introduce risk aversion. As expected, increasing the number of players have pro-competitive effects on the spot price of electricity. We also find that as the generators bid more competitively, spot and forward prices converge. Our model also captures the effects of level and variability of power demand on the players' contracting decisions. In the final chapter, we depart from equilibrium approach and utilizing agent-based modeling, analyze the effects of increased power demand price sensitivity on the level and volatility of power prices. We find that as the price sensitivity increases at the demand side, power price as well as its volatility decrease significantly. We also argue that the celebrated Herfindahl-Hirschman Index to measure market concentration is not a suitable metric for power markets.

Die vorliegende Arbeit beschaeftigt sich mit Gleichgewichtsproblemen unter Gleichgewichtsrestriktionen, sogenannten EPECs (Englisch: Equilibrium Problems with Equilibrium Constraints). Konkret handelt es sich um gekoppelte Zwei-Ebenen-Optimierungsprobleme, bei denen Nash- Gleichgewichte fuer die Entscheidungen der oberen Ebene gesucht sind. Ein Ziel der Arbeit besteht in der Formulierung dualer Stationaritaetsbedingungen zu solchen Problemen. Als Anwendung wird ein oligopolistisches Wettbewerbsmodell fuer Strommaerkte betrachtet. Zur Gewinnung qualitativer Hypothesen ueber die Struktur der betrachteten Modelle (z.B. Inaktivitaet bestimmter Marktteilnehmer) aber auch fuer moegliche numerische Zugaenge ist es wesentlich, EPEC-Loesungen explizit bezueglich der Eingangsdaten des Problems zu formulieren. Der Weg dorthin erfordert eine Strukturanalyse der involvierten Optimierungsprobleme (constraint qualifications, Regularitaet), die Herleitung von Stabilitaetsresultaten bestimmter mengenwertiger Abbildungen und die Nutzung von Transformationsformeln fuer die sogenannte Ko-Ableitung. Weitere Schwerpunkte befassen sich mit der Beziehung zwischen verschiedenen dualen Stationaritaetstypen (S- und M-Stationaritaet) sowie mit stochastischen Erweiterungen der betrachteten Problemklasse, sogenannten SEPECs. / This thesis is concerned with equilibrium problems with equilibrium constraints or EPECs. Concretely, we consider models composed by coupling together two-level optimization problems, the upper-level solutions to which are non-cooperative (Nash-Cournot) equilibria. One of the main goals of the thesis involves the formulation of dual stationarity conditions to EPECs. A model of oligopolistic competition for electricity markets is considered as an application. In order to profit from qualitative hypotheses concerning the structure of the considered models, e.g., inactivity of certain market participants at equilibrium, as well as to provide conditions useful for numerical procedures, the ablilty to formulate EPEC solutions in relation to the input data of the problem is of considerable importance. The way to do this requires a structural analysis of the involved optimization problems, e.g., constraints qualifications, regularity; the derivation of stability results for certain multivalued mappings, and the usage of transformation formulae for so-called coderivatives. Further important topics address the relationship between various dual stationarity types, e.g., S- and M-stationarity, as well as the extension of the considered problem classes to a stochastic setting, i.e., stochastic EPECs or SEPECs.

This thesis studies two related topics in liner shipping. The first topic is the contract pricing problem for container carriers. The second part studies the interaction of the longer term contracts and the spot markets/exchanges for the same goods/services. Most containerized freight is transported under the provisions of medium term contracts between ocean carriers and shippers. One of the biggest challenges for an ocean carrier is to find optimal ways to structure the prices in those contracts. In particular, an ocean carrier would like to set the prices such that the best match between supply and demand can be obtained to maximize its profit. We propose three optimization models as decision tools that carriers can use to plan the contract price structures, as well as the anticipated freight flows and empty container flows for the period covered by the contracts. Based on the models, we propose algorithms and build decision tools that generate the following output: optimal prices to be charged for the movement of freight, the anticipated freight flows and empty flows, containers to be leased, rented and purchased, and the additional voyage capacities to be procured. The first two models are deterministic and represent the problem at different levels of detail. In addition, a three-stage stochastic model is proposed to handle uncertainties in demand rates, costs, bookings and transit times on feeder arcs. Recent developments in information technology and communication make spot transactions more economical and more convenient. Nevertheless, the incidental spot transactions still count for only a very small portion of freight transported both by the large carriers who are the leaders in implementing e-commerce and in the industry as a whole. The second part of the thesis studies models to provide insight into the effect of spot market participation rates on various economic quantities. This may have implications for freight transportation industries, such as the sea cargo industry, in which longer term contracts are still prevalent. We focus our study on the following situation. Option contracts are signed before the demand is observed. As is common in liner shipping, sellers (carriers) also sell goods/services on the spot. Buyers (shippers) may or may not buy in the spot market as a matter of policy. We investigate the effects of spot market participation on the contract market and on the surpluses of all market players. It is found that the contract market shrinks as more and more buyers participate in the spot market. However, the effects on the surpluses of different market players are much more complicated and depend on the following factors: market structure, demand variation along time, demand variation among buyers and capacity level.

This dissertation assesses the evolving structure and performance of the electricity supply industry (ESI) in Queensland following the restructuring and deregulation process undertaken in 1997 and 1998 respectively. This microeconomic reform process essentially replaced a vertically integrated electricity monopoly with an oligopolistic electricity market. In theory at least, restructuring a monopoly generator, and deregulating the product and capacity markets, should lead to lower electricity production costs, more cost-reflective wholesale electricity prices, and a generation plant expansion path that reflects the least-cost, optimal mix of baseload, intermediate and peaking technologies. In economic terms, the deregulated electricity market should deliver improvements in productive, allocative and dynamic efficiency. However, a likely side effect is a deterioration of ESI environmental performance, since the minimization of production costs are of paramount importance in a competitive market. This research has utilized historic data, direct comparisons to southern market outcomes, economic theory and the development and adaptation of a suite of economic cost and generation system simulation models to test the stated hypotheses of expected improvements in productive, allocative and dynamic efficiency, and a deterioration in environmental performance. This research has not had the availability of extensive historical market data upon which to draw. When research first commenced, less than six months of historical market data were available. At the time of completion of this dissertation, only three full financial years of data existed. Consequently, this research necessarily relied upon complex simulation models of economic cost and electricity generation systems, coupled with economic theory, to forecast market outcomes. The short history of market data is examined and tentative conclusions are drawn from this, which are integrated with the outputs of the simulation models. Simulation experiments have been conducted to identify the theoretically optimal market outcome, that is, the least-cost generation plant mix that would best meet the Queensland load curve, subject to a reliability constraint. This forms the 'base case', and represents that which would reasonably be expected to emerge under a centrally planned monopoly regime with a welfare maximization objective, characterised by perfect information and zero political intervention. Such a scenario establishes efficient generation system costs, prices and plant capacity mix. The 'base case' or centrally planned scenario is contrasted with forecast 'market scenarios'. Performance of the generation system is explored under specified scenarios using the economic cost and generation system simulation models, publicly available information about committed and expected future investment in plant capacity, incumbent generator trends and behavioural assumptions consistent with oligopolistic market theories. The analysis indicates that productive efficiency, or cost efficiency, is enhanced as a result of restructuring the monopoly generator into competing entities since competitive pressures force the generators to reduce costs in order to survive. Allocative efficiency, or price efficiency, declined during the first three years of the market, with all generators earning positive economic rents. The presence of these economic rents, coupled with conventional oligopolistic strategies associated with the theory of barriers to entry, resulted in a rush to commission new baseload capacity. Not surprisingly, dynamic efficiency appears to be deteriorating, with the market-induced capacity augmentation proving to be far greater than that considered optimal. Modelling results indicate that the oversupply of baseload capacity is expected to place considerable downward pressure on electricity prices, and thus allocative efficiency is forecast to improve in the intermediate run, much to the benefit of electricity consumers. In the long run, the oversupply of baseload capacity and subsequent low market price can be expected to frustrate the timely entry of new peaking or intermediate plant capacity, which will ultimately be required by the Queensland ESI given the strong electricity demand growth. What does appear to be emerging is a five or seven year electricity generation business cycle. Modelling results from this research also point to alarming environmental implications, with the general levels of greenhouse gas emissions of the electricity system increasing. While system thermal efficiency is declining, the rush of new, low-cost coal-fired capacity represents an inferior outcome to the alternative (i.e. efficient combined cycle gas plant) because the volume of greenhouse emissions is markedly higher. The outlook for Queensland's greenhouse gas emissions from electricity generation, in the absence of coincident environmental policies, is that they will more than double between the 1990 emission baseline, and the commencement of the Kyoto commitment period in 2008. Some clear warnings emerge from this research. The structure and performance of an ESI prior to deregulation is important if microeconomic reforms are to be successful. Too little generation capacity or transmission capacity is unlikely to provide a robust foundation for wholesale market implementation. To ensure that adequate competition will prevail, it will be necessary to restructure monopoly generators. The existing ESI needs to be characterised by ‘inefficiency’ if gains from trade are to be capitalized. An efficient centrally planned ESI is unlikely to benefit greatly from deregulation, particularly given that implementing a product market is likely to be a costly process. And finally, competitive markets deliver lowest cost, which is usually inconsistent with the most environmentally responsible outcome. As a result, if the environment is considered a policy imperative, it will be critical that ESI deregulation be complemented by coincident environmental regulations.

Cette thèse vise à répondre à trois questions soulevées par la vague de réformes dans les secteurs de l’électricité: est-ce que la libéralisation de la fourniture d’électricité a atteint ses objectifs dans l’Union Européenne ? Comment les producteurs qui utilisent des sources renouvelables et non renouvelables se font concurrence dans le marché libéralisé ? Quel est l’'impact de l’augmentation de la production d’électricité à partir de sources renouvelables sur la congestion du réseau et sur les différences de prix zonaux en Italie ? Le premier chapitre fournit une évaluation à mi-terme de la libéralisation de la fourniture d’électricité en Europe. On propose une théorie complète sur la libéralisation de la fourniture et on teste sa cohérence avec la pratique dans l’Union Européenne. L’analyse met en évidence la persistance d’une structure oligopolistique dans la fourniture, un faible engagement des clients et des asymétries dans le taux et la vitesse de transfert des coûts d’approvisionnement dans les prix des contrats. L’attribution aux enchères des services par défaut et de dernier recours semble la meilleure solution afin de favoriser le développement de la concurrence. Dans le deuxième chapitre, nous étudions les interactions stratégiques entre une technologie de production traditionnelle et une renouvelable caractérisée par une capacité aléatoire. Nous employons une version modifiée du modèle de Dixit sur les investissements stratégiques de dissuasion à l’entrée avec deux configurations pour la concurrence après l’entrée: concurrence à la Cournot dans un jeu en deux étapes et le cadre entreprise dominante-frange concurrentielle dans un jeu en trois étapes. Dans les deux cas, l’analyse suggère que le producteur renouvelable exploite l’ordre de mérite afin de remplacer la production de son rival. Dans le troisième chapitre, nous analysons l’impact de la production d’énergie renouvelable sur la congestion et sur les différences de prix zonaux en Italie. En utilisant une base de données unique, nous estimons deux modèles économétriques sur cinq couples de zones: un modèle logit multinomial pour l’occurrence et la direction de la congestion et un modèle MCO pour la taille des différences de prix. L’analyse montre que dans une région importatrice l’effet de l’augmentation de la production renouvelable locale est de diminuer (augmenter) la probabilité de congestion provoquée par la région limitrophe (causée à la région limitrophe). L’augmentation de la production d’énergie renouvelable semble avoir un impact significatif sur les zones insulaires, en diminuant (augmentant) le niveau des différences positives (négatives) des prix. / The objective of this thesis is to answer to three questions raised by the wave of reform in electricity industries: has retail liberalization achieved its objectives in European Union? How traditional and renewable generators compete in a liberalized market? What is the impact on congestion and zonal price differences of increased production from renewable intermittent sources in Italy? The first chapter provides a mid-term evaluation of liberalization of electricity retailing in Europe. We propose a comprehensive theory on retail liberalization and test its consistency with the practice in European Union. The analysis highlights the presence of an oligopolistic supply structure, a limited level of customer engagement in the market and asymmetries in the rate and speed of cost-pass through. The attribution of the Default/Last Resort service through an auction mechanism seems the best solution to favor the development of competition. In the second chapter we study the strategic interactions between a traditional generation technology and a renewable one characterized by an intermittent availability of capacity. We employ a modified version of the Dixit model for entry deterrence with two post entry competition settings: the Cournot framework in a two stage game and the dominant firm-competitive fringe setting in a three stage game. In both cases, the analysis suggests that the renewable generator exploits the merit order rule to crowd out the production of its rival. In the third chapter we analyze the impact of renewable generation on congestion and zonal price differences in Italy. Using a unique database we estimate two econometric models on five zonal pairings: a multinomial logit model for the occurrence and direction of congestion and an OLS model for the size of paired-price differences. The analysis shows that in an importing region the effect of a larger local renewable supply is to decrease (increase) the probability of congestion in entry (exit). Increasing renewable generation seems to have a significant impact on the islander zones, decreasing (increasing) the level of positive (negative) price differences

Submitted by Alessandra Gazzoli (alessandra.gazzoli-santos@itau-unibanco.com.br) on 2013-09-13T18:41:48Z No. of bitstreams: 1 AlessandraGazzoli_EstruturaFractal.pdf: 2516271 bytes, checksum: 6f74e2f1266b906cb221034fae87335f (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-09-13T18:44:12Z (GMT) No. of bitstreams: 1 AlessandraGazzoli_EstruturaFractal.pdf: 2516271 bytes, checksum: 6f74e2f1266b906cb221034fae87335f (MD5) / Made available in DSpace on 2013-09-13T18:45:22Z (GMT). No. of bitstreams: 1 AlessandraGazzoli_EstruturaFractal.pdf: 2516271 bytes, checksum: 6f74e2f1266b906cb221034fae87335f (MD5) Previous issue date: 2013-08-14 / Economic variables are often governed by dynamic and non-linear processes that can originate long-term relationship and non-periodic and non-cyclical patterns with abrupt trend changes. Commodity prices exhibit this type of behavior and the peculiarities of those markets could generate fractionally integrated time series, whose singularities could not be properly captured by the traditional analytic models based on the efficient market hypothesis and random walk processes. Therefore, this study has investigated the presence of fractal structures on some very important Brazilian commodity spot markets such as coffee, cattle, sugar, soybean and calf. Some traditional techniques were used as well as other specific for fractal time series analysis, such as rescaled range (R/S) analysis, different fractal hypothesis tests and ARFIMA and FIGARCH models. The results showed that the drift component has not shown fractal behavior, except for the calf series, however, volatility has demonstrated fractal behavior for all the commodities that were analyzed. / As variáveis econômicas são frequentemente governadas por processos dinâmicos e não-lineares que podem gerar relações de dependência de longo prazo e padrões cíclicos não-periódicos com mudanças abruptas de tendências. Para o caso dos preços agrícolas este comportamento não é diferente e as peculiaridades destes mercados podem gerar séries temporais fracionalmente integradas, cujas singularidades não seriam adequadamente capturadas pelos tradicionais modelos analíticos fundamentados na hipótese dos mercados eficientes e de passeio aleatório. Sendo assim, o presente estudo buscou investigar a presença de estruturas fractais no mercado à vista de algumas das principais commodities agrícolas brasileiras: café, boi gordo, açúcar, milho, soja e bezerro. Foram empregadas técnicas tradicionais e específicas para a análise de séries temporais fractais como a análise de R/S e a aplicação de modelos das famílias ARFIMA e FIGARCH. Os resultados indicaram que, com exceção do bezerro, o componente de drift destas séries não apresentou comportamento fractal, ao contrário do observado para o componente da volatilidade, que apresentou aspecto de estrutura fractal para todas as commodities analisadas.