Henry Thille

Commodity Spot Prices: An Exploratory Assessment of Market Structure and Forward-Trading Effects

We assess how characteristics of product and forward markets affect levels and volatilities of commodity spot prices. We examine (i) how product market structure and forward market trading affect spot market games, (ii) the links between product market structure and spot price stability, (iii) whether forward trading destabilizes spot prices, and (iv) how information arrival affects price volatility and the volume of trade. We find that market structure models of the price level but not of price stability receive support, that increased forward trading leads to lower prices, and that the relationship between trading and price instability is indirect via a common causal factor.

Forward trading and storage in a Cournot duopoly

A dynamic game is presented that models the effects of forward trading and storage in an imperfectly competitive market. It is shown that the pro-competitive effects of forward trading found in previous work are weakened by the addition of storage, but not eliminated. The price level lies between that of a Cournot game and that of a game with forward trading but without storage.

Double-Layer and Hybrid Dynamics of Equilibrium Problems: Applications to Markets of Environmental Products

We present here an original method of tracking the dynamics of an equilibrium problem using an evolutionary variational inequalities and hybrid dynamical systems approach. We apply our method to describe the time evolution of a differentiated product market model under incentive policies with a finite life span. In particular, we describe trajectories of a dynamic game between two producers of a standard product and of an environmental variant of the standard product. We compute and assess the behavior of both the equilibrium (optimal) strategies, as well as the disequilibrium (no-optimal) ones of each producer involved in the oligopolistic market.

Speculative Constraints on Oligopoly

We examine an infinite horizon game in which producers’ output can be purchased by speculators for resale in a future period. The existence of speculators serves to constrain the feasible set of prices that can result from producers’ output game in each period. Absent speculation, producers play a repeated Cournot game with random demand. With speculative inventories possible, the game becomes a dynamic one in which speculative stocks are a state variable which firms can control via their influence on price. We employ collocation methods to find the unknown expected price and value functions required for computation of equilibrium quantities. We demonstrate that strategic considerations result in an incentive to sell to speculators that is nonmonotonic in the number of producers: speculation has the largest effect on equilibrium prices and welfare for market structures intermediate between monopoly and perfect competition. Using a computed example, we demonstrate that the effect of speculative storage on the average price level can be substantial, even though the effects on social welfare can be ambiguous.

A Dynamic Pricing Game in a Model of New Product Adoption with Social Influence

We examine a pricing game between firms that produce differentiated products and in which consumer preferences evolve in response to the market shares of the available products. One of the products is new and a subset of consumers (early adopters) have a relatively strong preference for it, while the remaining consumers are influenced by the relative market shares of the two products, being drawn to the product with the higher market share. We use a system of PDEs to specify the evolution of the preferences for the alternative goods. This system is nonlinear due to the influence of existing consumption choice on the distribution of preferences. The pricing game allows firms to react to the changing distribution of consumer preference. We find that allowing for the evolution of consumer preference in this way results in interesting dynamics for prices. In particular, price paths can be non-monotonic over time.

A time-dependent agent-based model of an eco-product market with social interactions and dynamic game pricing schemes

We present an agent-based model of an eco-product market from a system design perspective. The aim of our work is to investigate practicable ways in which such a market can be made to emerge and develop. The model takes an existing static formulation of a differentiated products market and generalizes it to include social interactions among different consumer classes, as well as time evolution over a finite horizon. In particular, we examine how an existing market changes in response to various influences, such as new (eco-) products becoming available. Social interactions play an important role in these changes. The analysis of the model is conducted considering multiple “personality” types of consumers, ranging from early to reluctunct adopters of the new product. The simulations show various consumer distribution outcomes over the product space and give insight as to how consumer demands for the environmentally friendly products can be influenced/increased over time. We also consider a dynamic game analysis perspective for pricing schemes of eco-products on markets simulated as above.