Universität zu Köln

Viehmann, Johannes ORCID: 0000-0003-0053-5374 (2019). Essays on market design and strategic behaviour in short-term power markets. PhD thesis, Universität zu Köln.

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Abstract

The thesis at hand consists of four essays. The first essay “State of the German short-term power market” is an extensive meta study that covers the main short-term power markets with focus on trading, efficiency and market design issues The markets considered are the day-ahead (DA)-market, cross-border trading and redispatch, intraday trading, ancillary services and the balancing energy market. In my second essay “Risk Premiums in the German Day-Ahead Electricity Market”, I conduct an empirical analysis of risk premiums and find that market participants are willing to pay both significant positive and negative premiums for hourly contracts. Additionally, an ex ante analysis finds a strong positive correlation between the expected tightness of the system and positive premiums. Hence, I conclude that power traders in the liberalised German market behave like risk-averse rational economic agents. In the third essay “The Value of Information in Explicit Cross-Border Capacity Auction Regimes in Electricity Markets”, which is joined work with my co-author Jan Richter, we analyse the strategic behavior of firms endowed with transmission rights. We identify three forces that diminish social welfare: firms play a Cournot game, the presence of capacity constraints and incomplete information. The fourth essay “Multi-unit multiple bid auctions in balancing markets: an agent-based Q-learning approach” is joined work with my co-authors Stefan Lorenczik and Raimund Malischek. We compare the two common auction types Uniform Price Auction (UPA) and Discriminatory Price Auction (DPA). We observe that UPAs lead to higher prices for all market settings. This is mainly due to the fact that players aggressively engage in bid shading. Even though we find that UPAs generally feature higher efficiencies, we show exceptions to this rule. Finally, we are able to analyse the influence of published information concerning previous auctions on prices.

Item Type:	Thesis (PhD thesis)
Creators:	Creators Email ORCID ORCID Put Code Viehmann, Johannes johannes.viehmann@gmail.com https://orcid.org/0000-0003-0053-5374 UNSPECIFIED
URN:	urn:nbn:de:hbz:38-94528
Date:	2019
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Externe Einrichtungen > An-Institute > Associated Institutes of the Faculty of Management, Economics and Social Sciences > Institute for Energy Economics
Subjects:	Economics
Uncontrolled Keywords:	Keywords Language Electricity markets UNSPECIFIED Auction design UNSPECIFIED Agent-based computational economics UNSPECIFIED Cournot oligopoly UNSPECIFIED Incomplete information UNSPECIFIED Capacity constraints UNSPECIFIED Cross-border trade UNSPECIFIED Risk premiums UNSPECIFIED Spot prices UNSPECIFIED Power Exchanges UNSPECIFIED Day-Ahead trading UNSPECIFIED Intraday trading UNSPECIFIED Ancillary Services UNSPECIFIED Balancing energy market UNSPECIFIED
Date of oral exam:	15 March 2019
Referee:	Name Academic Title Bettzüge, Marc Oliver Prof. Dr. Höffler, Felix Prof. Dr.
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/9452