Unexpected incidents can be destructive or even disastrous, affecting the financial markets. Incidents such as 9/11 attacks (2001), Fukushima nuclear disaster (2011), and COVID-19 outbreaks (2019, 2020) severely shocked both local global For investors, it is crucial to quantify key facts that affect incidents' impacts, estimate reactions of markets accurately efficiently for event-driven invest...

We reconsider the allocational invariance of equilibria to different formulations of market completeness. We identify the so-far neglected assumption of sophisticated behavior as crucial to this result. The paper studies three market structures. First, the Arrow-Debreu setting is considered. Second, sequentially complete markets are analyzed, where goods on the spot markets and all contingent o...

Electricity markets allow manufacturing facilities to provide energy, ancillary services, and virtual products in day-ahead and real-time settings. A recently developed multi-scale market participation model reveals that a large fraction of these economic opportunities are provided by real-time markets (updated every 5 minutes). We also observe that this trend is likely to persist as more inter...

We consider the problem of optimal bidding for virtual trading in two-settlement electricity markets. A virtual trader aims to arbitrage on the differences between day-ahead and real-time market prices; both prices, however, are random and unknown to market participants. An online learning algorithm is proposed to maximize the cumulative payoff over a finite number of trading sessions by alloca...

Price estimation is becoming increasingly relevant to producers and consumersin the new competitive electric power markets. Both for spot markets and short termcontracts, price forecasts are necessary to develop bidding strategies in order to maximizetheir benefits and utilities, respectively. Price estimation has become a very valuable toolin the current upheaval of electricity market deregula...

This study examines the contracting benefits of accounting conservatism on international debt and equity markets. Results show that firms domiciled in countries with more conservative financial reporting systems have significantly lower cost of debt and equity capital, after controlling for differences in legal institutions and securities regulations. I use one-year-ahead interest rate to measu...

The issue of finding market clearing prices in markets with non-convexities has had a renewed interest due to the deregulation of the electricity sector. In the day-ahead electricity market, equilibrium prices are calculated based on bids from generators and consumers. In most of the existing markets, several generation technologies are present, some of which have considerable non-convexities, ...

Water is scarce resource with uncertain availability. Hence finding an optimal production schedule for hydro producer is usually a complex task and it is necessary to carefully balance the timing of water use. This paper addresses the selfscheduling problem for a price-taker hydro producer. The goal is maximizing the profit of a hydro producer through participating in the day-ahead energy and a...