Start Date

11-12-2016 12:00 AM

Description

Combinatorial exchanges are nowadays being used in day-ahead energy trading and other high-stakes markets. Linear and anonymous competitive equilibrium prices are desirable in multi-object auctions, but unfortunately such prices typically do not exist in combinatorial exchanges. In spite of this, day-ahead energy markets compute linear and anonymous prices at the expense of allocative efficiency. Anonymity and linearity of prices are also a requirement in other combinatorial exchanges, but such markets are not well understood. We discuss the market design for a large-scale combinatorial exchange for fishery access rights. The market allows for different allocation and payment rules. We analyze trade-offs of these rules with respect to efficiency loss incurred and computational hardness. Via analytical models and numerical simulations, we show that these losses can be up to 100\% in worst-case scenarios, but that they are small on average in larger markets.

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Dec 11th, 12:00 AM

Linear payment rules for combinatorial exchanges

Combinatorial exchanges are nowadays being used in day-ahead energy trading and other high-stakes markets. Linear and anonymous competitive equilibrium prices are desirable in multi-object auctions, but unfortunately such prices typically do not exist in combinatorial exchanges. In spite of this, day-ahead energy markets compute linear and anonymous prices at the expense of allocative efficiency. Anonymity and linearity of prices are also a requirement in other combinatorial exchanges, but such markets are not well understood. We discuss the market design for a large-scale combinatorial exchange for fishery access rights. The market allows for different allocation and payment rules. We analyze trade-offs of these rules with respect to efficiency loss incurred and computational hardness. Via analytical models and numerical simulations, we show that these losses can be up to 100\% in worst-case scenarios, but that they are small on average in larger markets.