A mo re e ffic ie nt pro c ure me nt me c ha nism fo r re se rve c a pa c ity K a i F linke rb usc h, We stfä lisc he Wilhe lms-Unive rsitä t, Münste r
T he Ge rma n e le c tric ity ma rke t Spo t- a nd F o rwa rd ma rke ts • Ga te Clo sure (t-45min) • Ba la nc ing ma rke t • � Pro c ure me nt a uc tio ns fo r re se rve c a pa c ity Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 2
Pro c ure me nt a uc tio ns fo r re se rve c a pa c ity T SO spe c ifie s a mo unt o f c a pa c ity (in MW) • Supplie rs sub mit b ids (in €/ MW) • T SO c ho o se s lo we st b ids • Supplie rs a re pa id the ir b id • � Pa y-a s-b id de sig n is ine ffic ie nt! Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 3
Se le c te d Artic le s H. Cha o , R. Wilso n, „Multi-Dime nsio na l Pro c ure me nt Auc tio ns fo r Po we r • Re se rve s“, Jo urnal o f Re gulato ry E c o no mic s , 22(2), 2002 L .M. Ausub e l, P.R. Milg ro m, „T he lo ve ly b ut lo ne ly Vic kre y a uc tio n“, in: • Co mbinato rialAuc tio ns , MI T Pre ss, 2006 A.E . K a hn, P. Cra mto n, R.H. Po rte r, R.D. T a b o rs, „Unifo rm Pric ing o r pa y-a s- • b id pric ing : A dile mma fo r Ca lifo rnia a nd b e yo nd“, T he E le c tric ity Jo urnal , 14(6), 2001 D. Ha rb o rd, C. Mc Co y, „Mis-de sig ning the UK e le c tric ity ma rke t? “, • E uro pe an Co mpe titive L aw Re vie w , 21(5), 2000 Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 4
T he pa y-a s-b id a uc tio n E ve ry winning b idde r re c e ive s his o wn b id • Pro -Arg ume nts • – L o w re ve nue s to the b idde rs = lo w pro c ure me nt c o st to the T SOs – Ma rke t po we r (no syste m pric e ) Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 5
T he pa y-a s-b id a uc tio n An e xa mple : T SO wa nts to pro c ure 5 MW, 3 b idde rs, 3 b ids e a c h • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 6
T he pa y-a s-b id a uc tio n An e xa mple : T SO wa nts to pro c ure 5 MW, 3 b idde rs, 3 b ids e a c h • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 7
T he pa y-a s-b id a uc tio n An e xa mple : T SO wa nts to pro c ure 5 MW, 3 b idde rs, 3 b ids e a c h • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 8
T he pa y-a s-b id a uc tio n An e xa mple : T SO wa nts to pro c ure 5 MW, 3 b idde rs, 3 b ids e a c h • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 9
T he pa y-a s-b id a uc tio n Ce rta inty • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 10
T he pa y-a s-b id a uc tio n Ce rta inty • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 11
T he pa y-a s-b id a uc tio n Unc e rta inty • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 12
T he pa y-a s-b id a uc tio n Unc e rta inty • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 13
T he pa y-a s-b id a uc tio n Unc e rta inty • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 14
T he pa y-a s-b id a uc tio n Unc e rta inty • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 15
T he pa y-a s-b id a uc tio n Histo ric a l Ob se rva tio ns: Po s. se c o nda ry, pe a k time • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 16
T he pa y-a s-b id a uc tio n Co nc lusio n Bidde rs ne e d b idding stra te g y fo r e a c h b id in e a c h a uc tio n • Stra te g izing is e xpe nsive ! • I ne ffic ie nt a llo c a tio n • Pro c ure me nt c o st: All b ids a b o ve a c tua l c o sts • Ma rke t po we r: L a rg e b idde rs ha ve e c o no mie s o f sc a le (stra te g izing , • po rtfo lio o ptimiza tio n) Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 17
T he unifo rm-pric e a uc tio n E ve ry winning b idde r re c e ive s the ma rg ina l b id • Ga ming is po ssib le , sinc e o wn (re je c te d) b id ma y b e syste m pric e • Stra te g y: T ruthful re po rting fo r first ite m, sha ding fo r sub se q ue nt ite ms • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 18
T he unifo rm-pric e a uc tio n E ve ry winning b idde r re c e ive s the ma rg ina l b id • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 19
T he unifo rm-pric e a uc tio n E ve ry winning b idde r re c e ive s the ma rg ina l b id • Ga ming is po ssib le , sinc e o wn (re je c te d) b id ma y b e syste m pric e • Stra te g y: T ruthful re po rting fo r first ite m, sha ding fo r sub se q ue nt ite ms • Pro c ure me nt c o st: Syste m pric e ma nipula te d • Ma rke t po we r: L a rg e supplie rs c a n ma nipula te syste m pric e , b ut sma ll • b idde rs b e ne fit, to o . Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 20
Pa y-a s-b id VS. unifo rm-pric e a uc tio n Co nc lusio n E ffic ie nc y: Ne ithe r e ffic ie nt, ra nking a mb ig uo us (Ausub e l/ Cra mto n 2002) • Pro c ure me nt Co st: No sig nific a nt diffe re nc e (Ma lve y/ Arc hib a ld 1998) • Ma rke t po we r: Ra nking a mb ig uo us (K a hn/ Cra mto n/ Po rte r/ T a b o rs 2001) • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 21
T he Vic kre y a uc tio n E ve ry winning b id is pa id the b id it ha s b e a te n • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 22
T he Vic kre y a uc tio n E ve ry winning b id is pa id the b id it ha s b e a te n • Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 23
T he Vic kre y a uc tio n Why is it e ffic ie nt? • – Re ve nue is no t a ffe c te d b y o wn b ids Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 24
T he Vic kre y a uc tio n Why is it just? • – E ve ry b idde r is a wa rde d the a mo unt sa ve d b y his pa rtic ipa tio n Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 25
T he Vic kre y a uc tio n Ho w to imple me nt it? • – Just c ha ng e pa yme nt rule fro m PAB to Vic kre y Wha t the c ritic s sa y • – Hig h re ve nue to b ig supplie rs (pivo ta l supplie rs? ) � Wo uld b e a pro b le m in c urre nt de sig n, to o Why is it ra re ly use d? • – Critic a l a ssumptio ns (n.p. in re se rve pro c ure me nt a uc tio n) – Auc tio n the o ry ra the r ne w sub je c t (Milto n F rie dma n wro ng ly infe rre d tha t multi-unit, unifo rm-pric e a uc tio ns we re e ffic ie nt) Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 26
Co nc lusio n PAB: Pla y „g ue ss the ma rg ina l pric e “ o r b id a g g re ssive ly • Unifo rm: Pla y „ma nipula te ma rg ina l pric e “ • � I ne ffic ie nt a llo c a tio n � Re so urc e s wa ste d due to stra te g izing � Ma rke t po we r issue s Vic kre y • � E ffic ie nt a llo c a tio n � No c o st fo r stra te g izing � F a ir distrib utio n, b ut po ssib ly (no t c e rta inly) hig he r pro c ure me nt c o sts Pay ‐ as ‐ bid VS Uniform Introduction Literature Vickrey Conclusion K a i F linke rb usc h 27
T ha nk yo u ve ry muc h! Co nta c t: K a i F linke rb usc h L e hrstuhl für Vo lkswirtsc ha ftsthe o rie We stfä lisc he Wilhe lms-Unive rsitä t, Münste r K a i.F linke rb usc h@ wiwi.uni-mue nste r.de K a i F linke rb usc h 28
Recommend
More recommend
