Seminar: Equilibrium models of cross-product manipulation in electricity markets

Chiara Lo Prete

Assistant Professor of Energy Economics

John and Willie Leone Department of Energy and Mineral Engineering

The Pennsylvania State University

The use of uneconomic virtual transactions in day-ahead electricity markets with the intent to benefit related financial positions constitutes cross-product manipulation, and has emerged as a policy concern in recent years. Cross-product manipulation has been extensively studied in securities and commodities markets, but its theoretical foundations and empirical implications in electricity markets are not well understood. Price manipulation may increase the total cost of serving electricity demand, lead to market outcomes that do not reflect underlying fundamentals, and affect the distribution of profits among market participants. Dr. Lo Prete will present recent work on multi-stage equilibrium models that examine economic conditions allowing cross-product manipulation to persist over time, rather than as an isolated surprise. Ongoing research is also considering the application of machine learning algorithms for price manipulation detection.

Chiara Lo Prete is Assistant Professor of Energy Economics in the John and Willie Leone Family Department of Energy and Mineral Engineering. Dr. Lo Prete’s research centers on the design and operations of electricity markets, and employs quantitative methods at the intersection of economics, operations research and statistics. Before joining Penn State in July 2014, Dr. Lo Prete was a Ziff Environmental Fellow at Harvard University from 2012 to 2014. She earned a B.A. in Economics (summa cum laude) from LUISS University (Italy), a M.A. in Energy Economics from the Scuola Mattei (Italy), and a M.S. and Ph.D. in Geography and Environmental Engineering from The Johns Hopkins University.