Search results for "Market clearing"
showing 4 items of 4 documents
Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
2016
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves with the imbalance of buyer vs. seller initiated transactions. For example, during a period where there is an excess of buyer initiated transactions, there is also more liquidity for buy orders than sell orders, so that buy orders generate smaller and less frequent price responses than sell orders. At the moment a buy order is placed the transaction sign imbalance tends to dominate, generating a price impact. However, the liquidity imbalance rapidly incre…
Combinatorial Double Auction Radio Resource Allocation Model in Crowd Networks
2018
International audience; Industrial Partners (IPs) with Mobile Network Operators (MNOs) are extending the mobile network infrastructure with Small Cells (SCs) in order to meet the growing mobile traffic demand. Due to the increasing number of telecommunication market competitors and the scarcity of radio resources, static sharing schemes are no more efficient. New dynamic schemes should be considered to meet both user expectations and economic success. In a crowd networking context, we propose in this work a dynamic radio resource scheme based on combinatorial double auctions. The participants in these auctions are the MNOs considered as buyers and the IPs, providers of SCs, considered as se…
How markets slowly digest changes in supply and demand
2008
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices. Because revealed market liquidity is extremely low, large orders to buy or sell can only be traded incrementally, over periods of time as long as months. As a result order flow is a highly persistent long-memory process. Maintaining compatibility with market efficiency has profound consequences on price formation, on the dynamics of liquidity, and on the nature of impact. We review a body of theory that makes detailed quantitative pr…
Multiobjective design of distributed reactive power production in a deregulated electric market
2005
Abstract Reactive flows compensation optimal design for losses reduction in MV automated distribution systems is a problem deeply studied in literature. In this paper, the design problem is formulated considering the new deregulated energy market. These new operational conditions allow the MV grid operator to consider the generation of reactive energy also as a service that can be sold to the transmission system above. In this case, the transmission system would be helped in all the working conditions in which a strong modulation of the reactive flow through the HV/MV node is required. Then, for the MV grid operator, the compensation system optimal design problem is therefore that of the se…