Francisco Alvarez

Francisco Alvarez
Complutense University of Madrid | UCM · Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa)

PhD

About

41
Publications
2,864
Reads
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258
Citations
Citations since 2017
11 Research Items
104 Citations
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Introduction
Multi-unit auction theory and its application to Treasury auctions and to emission permit markets. Bayesian learning and risk. Consumer behavior and choice overload.
Additional affiliations
April 2002 - present
Complutense University of Madrid
Position
  • Professor (Associate)
Description
  • Dynamic Optimization, Game theory and its applications to multi-unit auctions.
September 1999 - March 2000
Aix-Marseille Université
Position
  • Researcher
Description
  • Post-Doc research, working with Prof. Ch. Deissenberg
September 1998 - March 1999
University of Amsterdam
Position
  • Researcher
Description
  • Post-Doc research, working with Prof. H. Amman
Education
September 1991 - April 1997
Complutense University of Madrid
Field of study
  • Economics
September 1986 - June 1991
Complutense University of Madrid
Field of study
  • Economics

Publications

Publications (41)
Article
The size of bidders has been the focus of some research in the empirical literature in renewable electricity auctions, mostly related to the (negative) impact of auctions and auction design elements on the participation and award of small bidders. The main result of this literature is that small actors are discouraged from participating and being a...
Article
This paper documents published code which can help facilitate researchers with binary classification problems and interpret the results from a number of Machine Learning models. The original paper was published in Expert Systems with Applications and this paper documents the code and work-flow with a special interest being paid to Shapley values as...
Article
Full-text available
In this paper we apply a series of Machine Learning models to a recently published unique dataset on the mortality of COVID19 patients. We use a dataset consisting of blood samples of 375 patients admitted to a hospital in the region of Wuhan, China. There are 201 patients who survived hospitalisation and 174 patients who died whilst in hospital. T...
Article
This paper illustrates how Machine Learning techniques can be used to assess the impact of environmental protocols that are sparsely activated over time. A case study is analysed: the impact of a protocol that sets traffic restrictions on NO2 levels in Madrid’s urban area. The protocol specifies that these restrictions are active only when NO2 leve...
Article
Full-text available
We apply a machine learning (ML) algorithm in order to predict bankruptcy rates among companies within the Spanish economy from 1992 to 2016. The model identifies some relevant variables when predicting bankruptcy: such as the ratio total liabilities to total assets or current liability to financial expenses along with size factors such as the log...
Chapter
Full-text available
Bidding in different (single object) auctions, or cross-bidding, and bidding incrementally within one auction, or nibbling, are two phenomena observed in platforms like eBay. This paper tests with numerical methods the validity of a theoretical setting that rationalizes such behavior, while bidders are assumed to observe privately and without error...
Article
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The theoretical literature in economics has established causality from cost dispersion to price dispersion in a market for a homogeneous good in which buyers face search cost. In that literature, it is generally assumed that the cost distribution in the market is exogenous. In this paper we explore bidirectional causality between costs and prices,...
Article
We study existence, uniqueness and restoring dynamics of price-dispersion equilibria in a market for a homogeneous good. We assume that costs are heterogeneous across participating firms. Specifically, we rely on classical extreme value theory and some recent developments on fee-setting mechanisms to consider cost distributions that are Generalized...
Article
Full-text available
We study the efficiency of the uniform auction as an allocation mechanism for emission permits among polluting firms. In our model, firms have private information about their abatement costs, which differ across firms and across units, and bidders’ demands are linear. We show that there is a continuum of interior Bayesian Nash equilibria, and only...
Article
Full-text available
An expected utility risk averse maximizer must decide on an investment policy for a set of N projects. The budget for investment is fixed and it is allocated to the projects gradually over time by an endogenously determined amount. We allow for simultaneous investments in different projects as well as investments in the same project at different ti...
Article
We analyze emission permit auctions in a framework in which a dominant firm enjoys market power both in the auction and in the secondary market while its competitor behaves in a competitive way. We obtain linear equilibrium bidding strategies for both firms and a unique equilibrium of the auction, which is optimal ex-post for the dominant firm. Und...
Article
Full-text available
We consider the ubiquitous problem of a seller competing in a market of a product with dispersed prices and having limited information about both his competitors’ prices and the shopping behavior of his potential customers. Given the distribution of market prices, the distribution of consumers’ shopping behavior, and the seller’s cost as inputs, we...
Article
Abstract We use multi-unit multi-bid common value auction models with private information to draw empirical implications on how bidding behavior in bond auctions is affected by secondary market price volatility, implications that we test using indi- vidual bidding data for 88 bond auctions held between 2003 and 2007 by the Spanish Treasury. The mai...
Article
It has been recently suggested that both the number of options considered by consumers and their satisfaction when shopping respond to changes in the mean and spread of market prices. A structured analysis of those responses is provided in this paper. A new adverse effect related with consumer’s welfare is presented here, namely a consumer that sea...
Article
Full-text available
Recent psychological research indicates that consumers that search exhaustively for the best option of a market product-known as maximizers-eventually feel worse than consumers who just look for something good enough-called satisficers. We formulate a time allocation model to explore the relationship between different distributions of prices of the...
Article
Full-text available
We compare auctioning and grandfathering as allocation mechanisms of emission permits when there is a secondary market with market power and the firms have private information. Based on real-life cases such as the EU ETS, we consider a multi-unit, multi-bid uniform auction, modelled as a Bayesian game of incomplete information. At the auction each...
Article
The cost of time has been suggested as a factor associated with the choice overload problem. This term refers to the discomfort or paralysis experienced by individuals when facing a choice within a large set of alternatives, as it has been evidenced in experiments by behavioural and social psychologists. We introduce a rational model of time alloca...
Article
A seller sets up an advertising policy so as to maximize a flow of discounted utility over time in a scenario characterized by two essential issues. First, the seller is ignorant from the outset of the prospective customers' willingness to buy and runs a Bayesian learning process in parallel to the advertising policy. Second, the room for the selle...
Article
Full-text available
We construct a model of multi-unit auctions in which I bidders bid for two indivisible units of a common value good. Using a first-order approach, we find that there are equilibria in which bidders bid the same price for both units in the discriminatory auction, but not in the uniform auction. When there are only two bidders, under certain conditio...
Article
Full-text available
We consider a market for pollution emission permits in a setting in which pollution is determined as the sum of …rm-speci…c random shocks and each …rm's abatement e¤ort. A expected utility-maximizing society demands an optimal abatement e¤ort from each …rm. Since the abatement e¤ort is decided by each …rm and not observed by the environmental regul...
Article
Full-text available
We consider a market for pollution emission permits in a model in which pollution, generated as by-product of firm’s activity, is determined as the sum of firm-specific random shocks and each firm’s abatement effort. In such a setting, an expected utility maximizing society demands an efficient abatement effort from each firm. We assume that the ab...
Article
The Spanish Treasury is the only Treasury in the world that uses a hybrid system of discriminatory and uniform price auctions to sell government debt: winning bidders pay their bid price for each unit if this is lower than the weighted average price of winning bids (WAP), and pay the WAP otherwise. Following Gordy [Gordy, M., 1996. Multiple bids in...
Article
Full-text available
The European Environmental Agency (EEA) assigns periodically air pollution emission rights among the EC member states, who, in turn, share their respective endowment among the polluting firms. There exists a moral hazard problem since the EEA does not observe abatement efforts. We propose a theoretical model to analyze the effects that a market for...
Article
Full-text available
This paper analyzes the role of macroeconomic performance in shaping the evolution of air pollutants in a panel of European countries from 1990 to 2000. The analysis is addressed in connection with EU environmental regulation. We start by documenting the patterns of cross-country differences among different pollutants. We then interpret these diffe...
Article
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We provide an empirical study of the evolution of emissions of some specific air pollutants on a panel of EU member states from 1990 to 2000, and we relate observed patterns to macroeconomic performance. The ratio pollution emission to GDP, so-called emission intensity, has decreased over the period considered in most EU member states. However, a n...
Article
Full-text available
Abstract. The majority of Treasuries use discriminatory auctions to sell government debt. A few Treasuries use uniform auctions. The Spanish Treasury is the only one that uses a hybrid format of discriminatory and uniform auctions. All Treasury auctions are multiple-unit multiple-bid auctions, usually assumed to be common and unknown value auctions...
Article
The firms in many industries shift down the production cost function as they accumulate experience (learning by doing). The intertemporal production decision of the firm under learning by doing can be formulated as a Dynamic Optimization problem. Though properties of the solution to that problem are known, in general this analytical solution has no...
Article
This paper presents a simple repeated-game model of interaction between an optimizing government and the private sector. Two polar cases are considered: (a) the private sector is represented by a single agent; and (b) there is a continuum of heterogenous atomistic private agents. In both cases, the government starts each repetition by making a non-...
Article
The Spanish Treasury is the only Treasury in the world that uses a hybrid system of discriminatory and uniform price auctions to sell government debt: winning bidders pay their bid price for each unit if this is lower than the weighted average price of winning bids, and pay the weighted average price of winning bids otherwise. Following Gordy (1996...
Article
We study under which conditions a learning by doing effect in the industry causes a monopolist to operate at a loss for some initial periods. Those conditions involve a parameter of the learning process, the slope of inverse demand function and the discount parameter. In order to get results, we explore the analytical solution to a T-period learnin...
Article
This paper presents a simple repeated-game model of interaction between an optimizing government and the private sector. Two polar cases are considered: (a) the private sector is represented by a single agent; and (b) there is a continuum of heterogenous atomistic private agents. In both cases, the government starts each repetition by making a non-...
Article
We find the closed form optimal solution for a class of learning by doing models, where multiplicative uncertainty is introduced in a piecewise linear cost reduction function. Previous literature does not find the closed form optimal solution for these models. We consider a monopolist, facing a linear demand function. The optimal policy for the res...
Article
Empirical research indicates that learning-by-doing may be one of the main causes of falling production costs. A number of authors like Arrow, Fudenberg and Tirole, Dasgupta and Stiglitz, have focused on the theoretical implications of learning-by-doing. However, a complete framework incorporating learning, stock building as well as uncertainty, is...
Article
In this paper, we use the Wang and Zender (98) model of auctions, and derive, using optimal control, the optimal bidding strategy in the Spanish Treasury Bill auctions (STBA). Spain is the only country that uses a hybrid system of discriminatory and uniform price auctions: winning bidders pay their bid price if it is lower than the weighted average...
Article
We use a theoretical model for the demand of telecommunication services to derive econometric models of the business demand for telephone traffic in Spain for the period 1980–1991. Using quarterly data, we estimate equations for toll traffic: local, long distance, national and international. We use cointegration to obtain long-run and short-run equ...
Article
A phenomenon widely observed in industries which are in an early stage is that they reduce their costs as a result of accumulating experience, that is, they reduce their costs with their output. This is known in the economic literature as the learning by doing effect, and it was studied for the first time by Arrow in 1962. There are a lot of refere...
Article
This paper presents a simple repeated-game model of interaction between the government and the private sector where, at each repetition, the government first makes a non-binding announcement about its future actions. The private sector, unsure whether or not this announcement will be respected, either acts (with probability π) as if it trusted the...
Article
Full-text available
Presentamos evidencia empírica sobre convergencia en magnitudes medioambientales para países desarrollados y en vías de desarrollo. Además, partiendo de un modelo standard "putty-clay" de uso de energía, introducimos un stock de contaminación sobre el que se fija un objetivo de reducción de emisiones. El análisis teórico ofrece indicaciones sobre q...

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