Convexifying Market Clearing of SoC-Dependent Bids From Merchant Storage Participants

Variable Quantity Market Clearing Algorithms

Market clearing is the process of matching buy and sell bids in securities markets. The allocative efficiency of such algorithms is important, as the Auctioneer is typically paid a commission on the number of bids matched and the volume of quantity traded. Previous algorithms have concentrated on price issues. This paper presents several market clearing algorithms that focus solely on allocatin...

Market-Based Allocation with Indivisible Bids

We study multi-unit double auctions accepting bids with indivisibility constraints. We propose different price-quote policies and study their influence on the efficiency of market-based allocation. Using a reconfigurable manufacturing scenario where agents trade large quantities of multiple goods, we demonstrate potential benefits of supporting indivisibility constraints in bidding. These benef...

Online Algorithms for Market Clearing

Market Clearing and Derivative Pricing

We develop a method of assigning unique prices to derivative securities, including options, in the continuous-time finance model developed in Raimondo [45]. In contrast with the martingale method of valuing options, which cannot distinguish among infinitely many possible option pricing processes for a given underlying securities price process when markets are dynamically incomplete, our option ...

Market Clearing Mechanisms under Uncertainty

Electricity markets face a substantial amount of uncertainty. While traditionally this uncertainty has been due to varying demand, with the integration of larger proportions of volatile renewable energy, added uncertainty from generation must also be faced. Conventional electricity market designs cope with uncertainty by running two markets: a market that is cleared ahead of time, followed by a...