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Game-theoretic model of agents’ interaction on a two-stage market with a random factor

  • Mathematical Game Theory and Applications
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Abstract

This paper constructs and examines a game-theoretic model of a two-stage market with arbitrageurs. Arbitrageurs are risk-neutral and operate in the conditions of perfect competition. A random factor affects the outcome on the spot market, making the spot price a random value. We determine the optimal strategies for consumers, producers, and arbitrageurs. In addition, we analyze how the market power of producers depends on the parameters of the model. The results demonstrate that introduction of the forward market substantially reduces the market power of producers.

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Authors and Affiliations

  1. Lomonosov Moscow State University, Moscow, Russia

    A. A. Vasin & E. A. Daylova

Authors
  1. A. A. Vasin
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  2. E. A. Daylova
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Correspondence to A. A. Vasin.

Additional information

Original Russian Text © A.A. Vasin, E.A. Daylova, 2012, published in Matematicheskaya Teoriya Igr i Prilozheniya, 2012, No. 4, pp. 3–22.

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Vasin, A.A., Daylova, E.A. Game-theoretic model of agents’ interaction on a two-stage market with a random factor. Autom Remote Control 75, 1677–1688 (2014). https://doi.org/10.1134/S0005117914090136

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  • DOI: https://doi.org/10.1134/S0005117914090136

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