Guillaume Roger

Home

Professor of Economics, Monash University -- Australia

Coordinator, Australian Electricity Market Initiative.
Co-Director, Grid Innovation Hub

Best contact: guillaume.roger72[at]gmail.com

News: "Pre-emption equilibrium in a storage game" (with Sergei Balakin) - submitted

We construct a pre-emption equilibrium in a game with n producers and one storage unit, in which the producers cooperate to prevent storage from operating. The equilibrium must deter two kinds of deviations: the producers are disciplined by the threat of Nash reversion in grim trigger and storage is prevented from operating by the threat of cycling between high buying prices and low selling prices. Doing so also requires a two-sided condition on the discount factor; it must be high enough for grim trigger to have bite, but not too high for the cycle play to also apply. The essential novelty is that the marginal cost of storage is determined by equilibrium play.

News: "Storage games" (with Sergei Balakin) - forthcoming, RAND Journal of Economics

We study a long-horizon, oligopolistic market with random shocks to demand that can be arbitraged by two large storage operators with finite capacity. The application we speak to is electricity but our results extend to any storable commodity – that is, most commodities. Because the arbitrage spread is so sensitive to market power, storage units face very strong incentives to restrain quantities by tacitly colluding. This cooperation takes new forms thanks to the multiplicity of actions they must take: selling, buying or both. We construct payoff-maximizing equilibria, and uncover a new form of partial collusion that trades off quantities and delay. Head-on competition is not always an equilibrium of the long-horizon game, unlike many standard games, when market power becomes large enough. We present some robustness checks. We also draw implications for policy and suggest poorly competitive storage is a negative externality to the development of the underlying commodity – for example, renewable energy.

News: "Dynamic trading strategies for storage ." (with Sergei Balakin) - Journal of Economic Dynamics and Control, Vol 176

We model the dynamic trading of electricity by a storage operator in an oligopolistic market with demand shocks that make room for intertemporal arbitrage. We must restrict attention to heuristics for tractability reasons. The dynamics of the stochastic game are driven with the interaction of the heuristic, the exogenous stochastic process and the constraints on capacity and on short-selling. We uncover a strong precautionary motive that we call the continuation risk. A storage operator balances current arbitrage revenue and the continuation risk.

News: White Paper "The storage imperative"--a summary of the work we did we Sergei Balakin for an easy read.
News: "Storage cycles" (with Sergei Balakin) - submitted

We study the monopoly problem of a large scale storage unit that faces a periodic demand with an uncertain peak. Strategies are power rates, which is faithful to the physics of electricity and afford the operator vast flexibility. For different information structures we characterize optimal buying and selling strategies for over and two cycles. The storage operator smooths trades within and across cycles. In the face of a low demand, she saves energy in cycle one, which supplies her a cheap gamble in cycle two.

Teaching

Vitae

National Centre for Childhood Grief (NCCG)

My lovely wife sits on the board of this remarkable organization that helps children grieving through the loss of a parent, whatever the circumstances. These events occur every day; 5% of families in Australia are affected. These are unspoken but real tragedies for the kids. The NCCG welcomes your donations to pay for toys, books, food and other basics for the kids.

Tim Burton

according to my daughter

Another take on Bondi Beach

according to my son

Google Sites

Report abuse