Ewa Drabik
ARTICLE

(Polish) PDF

ABSTRACT

The Polish energy market gained its competitive character in late 1990s. At that time in majority of European countries a new law was enacted (in Poland – in 1987), which enabled the creation of internal energy markets. The Polish Power Exchange has been functioning since the end of 1999. However, from the very onset it has constituted a vital component of under grounding liberalization of electricity market. Since it was created the Polish Power Exchange has served as a market mechanism for setting objective energy market price. Support and control of the Polish Financial Supervision Authority guarantee the security of concluded transactions.
The spot energy market was created as the first one and has functioned according to the rule of the double auction. Double auction are a form of money and goods exchange, during which the bids are made by purchases as well as by sellers. Besides the price, each bid discloses the amount of ware which is to be purchased by contracting parties. The rules of the double auctions, as well as of other auction types, are comparable to the rules of a game. The double auction is one of the most common exchange institution, used extensively in stock markets, commodity markets an in markets for financial instruments, including options and futures.
Searches and simulation experiments pertaining to the functioning of the double auctions have been conducted on a wide scale. They were initiated in 60s in twenties centuries by the Vernon L. Smith. Many authors such as: Wilson (1987), Friedman (1991), Gode and Sunder (1993), Gjerstad and Dickhaut (1998), Sadrieh (1998), Xia, Stallaert, Whinston (2004) attempted to construe models of behavior of double auction participants. Although these models have furthered understanding of the interaction of individual behavior and institution in the double auction. The model of Sadrieh will be used for description of the auction rules applied to the spot energy trade on the Polish Power Exchange. Furthermore, an algorithm on the basis of which it is possible to forecast transaction prices is presented. The effectiveness of this algorithm will be compared with other traditional methods of forecasting transaction prices.

KEYWORDS

double auction, to forecast transaction price, energy market

REFERENCES

[1] Dickhaut J., Gjerstad S., [1998], Price formation in double auction, „Games and Economic Behaviour”, 22, pp. 1-29.

[2] Drabik E., [2007], Aukcje w teorii i praktyce, Wydawnictwo SGGW w Warszawie.

[3] Drabik E., [2006], Eksperymentalne wyznaczanie ceny transakcji dla aukcji dwustronnej na podstawie danych z WGT S.A., „Przegląd Statystyczny”, 4 (53), 7-24.

[4] Drabik E., [2000], Zastosowania Teorii Gier do Inwestowania w Papiery Wartościowe, Wydawnictwo Uniwersytetu w Białymstoku, Białystok.

[5] Drabik E., [1999], Aukcje jako gry, „Przegląd Statystyczny”, 4 (46), 449-467.

[6] Krysicki K., Bartos J., Dyczka W., Królikowska K., Wasilewski M., [1994], Rachunek prawdopodobieństwa i statystyka matematyczna w zadaniach. Cz II. Statystyka matematyczna, Wydawnictwo Naukowe PWN, Warszawa.

[7] Majewska E., [2006], Wykorzystanie reguł aukcyjnych do alokacji dóbr na przykładzie Warszawskiej Giełdy Towarowej, praca doktorska, SGGW, Warszawa.

[8] Sadrieh A., [1998], The Alternating Double Auction Market. A Game Theoretic and Experimental Investigation, Springer –Verlag, Berlin Heidelberg.

[9] Smith V.L., [1982], Microeconomic systems as experimantal science, „American Economic Review”, 72, 923-955.

[10] Smith V.L., Williams A.W., Bratton W.K., Vannoni M.O., [1982], Competitive market institutions: double auctions vs. sealed bid-offers auctions, „The American Economic Review”, Vol. 72, No. 1, 58-77.

[11] „Szczegółowe zasady obrotu i rozliczeń dla energii elektrycznej na Rynku Dnia Następnego z dnia 29.09.2009”, www.polpx.pl

[12] Vickrey W., [1961], Counterspeculation, auctions, and competitive sealed tenders, „Journal of Finance”, 16, 8-37.

[13] Wolfstetter E., [1996], Auctions in introduction, „Journal of Economic Surveys”, 10, 367-420.

[14] Wilson R., [1992], Strategic analysis of auctions, [in:], Aumann R.J., Hart S. (eds), Handbook of Game Theory and Applications, Vol. 1, 228-279, North- Holland, Amsterdam London New York Tokyo.

[15] Xia M., Stallaert J., Whinston A.B., [2004], Solving the combinatoral double auction problem, „European Journal of Operational Research”, Article in press, www.sciencedirect.com, 1-13.

[16] www. polpx.pl

[17] www.tge.pl

Back to top
Copyright © 2019 Statistics Poland