Dynamic trading strategies for storage
研究寡头垄断市场中存储单元在容量约束下的动态交易策略，发现最优策略受需求冲击和容量影响，并揭示市场力量导致的“持续风险”现象。
We consider a dynamic model of an oligopolistic market with demand shocks, in which a storage unit buys and sells over time subject to a capacity constraint. To make progress in this stochastic game with constraints, we restrict attention to simple heuristics, and we can characterize the optimal policy of a storage unit in this restricted class of strategies. The heuristics, the exogenous stochastic process and the capacity constraint interact to induce rich dynamics. The optimal policy is sensitive to the nature of demand shocks and to storage capacity. For a fixed capacity, the storage unit internalizes its unilateral market power; it acts like a monopolist on its arbitrage spread. We uncover a new phenomenon that we call continuation risk . It is a corollary of market power and induces the optimal capacity to be interior even absent investment cost. We discuss some implications. This work applies to any storable commodity such as crops, raw materials or fuels, and more recently, electricity.