Limits to arbitrage in electricity markets: A case study of MISO
Limits to arbitrage in electricity markets: A case study of MISO
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电力市场套利的限制：MISO 案例研究
DOI：
10.1016/j.eneco.2018.08.024
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发表时间：
2018
期刊：
影响因子：
12.8
通讯作者：
J. M. Pavlin
中科院分区：
文献类型：
--
作者：
J. Birge;Ali Hortaçsu;Ignacia Mercadal;J. M. Pavlin
我们研究的情况下，金融交易商在中西部电力市场，在那里他们预计套利价格差异，导致效率低下。利用金融危机和高交易成本时期的金融交易中的外生变量，我们发现投机者只有微弱的影响。此外，尽管套利受到监管规定的交易成本的限制，但一些金融参与者却在与定价差距完全相反的方向下注，在这样做的同时承受了巨大的损失。我们发现，这与旨在增加押注当地价格差异（FTR）的相关工具价值的价格操纵是一致的。
We study the case of financial traders in the Midwest electricity market, where they are expected to arbitrage price differences that result in inefficiencies. Using exogenous variation in financial trading from the financial crisis and a period of high transaction costs, we show speculators had only a weak effect. Moreover, while arbitrage was restricted by transaction costs imposed by regulation, some financial players bet in exactly the opposite direction of the pricing gap, sustaining large losses while doing so. We show this is consistent with price manipulation intended to increase the value of a related instrument that bets on local price differences (FTRs).