Guillaume Roger

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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) - accepted for publication, Journal of Mathematical Economics

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 over the long horizon" (with Sergei Balakin and Janosch Rieger) - submitted

We model a large-scale, monopoly storage unit operating in an electricity market over the long horizon. In line with actual data, each day, two random demand shocks are drawn: one in the morning and another in the evening. We report numerical results for the optimal policy of storage. Both buying and selling are intricate functions of the entire environment: the state of charge and the demand conditions represented by the two random shocks. The two standard trade-off of managing its price impact and intertemporal smoothing interact, and are compounded by the need to buy in order to sell. There is an inefficiently low level of storage activity that leads to resource misallocation, which is socially costly. It can be corrected.

News: "Modeling trading over time" (with Sergei Balakin) - submitted

In a dynamic context we contrast the use of quantities (real numbers) and flows (functions of time that integrate to a quantity), the cost of which is dealing with a functional problem. Because flows better account for the timing of trade, it can also make better use of information. More can be traded in equilibrium--up to 8% in our parametrization. Which set of tools to use depends on where the analyst wants to put the emphasis.

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.

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Vitae

National Centre for Childhood Grief (NCCG)

My lovely wife sat for 10 years 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. 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

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