电价预测技术综述

电力工业从垄断走向市场,使得电价不再由政府确定,而是在市场机制下产生。电价波动会影响市场参与者的经济利益。对电力市场参与者而言,准确地预测电价具有非常重要的意义。该论文以电力系统短期边际价格为主要研究对象。首先分析了电价的变化特点、影响电价的主要因素,明确电价变化的规律性。然后介绍了一些现有因素分析的方法。并对当前电价预测方法按其工作原理进行分类总结,最后根据各类电价预测模型的特点尤其利用神经网络方法建立的预测模型进行了深入分析和总结。     

Analysis of imperfect competition in natural gas supply contracts for electric power generation: A closed-loop approach

The supply of natural gas is generally based on contracts that are signed prior to the use of this fuel for power generation. Scarcity of natural gas in systems where a share of electricity demand is supplied with gas turbines does not necessarily imply demand rationing, because most gas turbines can still operate with diesel when natural gas is not available. However, scarcity conditions can lead to electricity price spikes, with welfare effects for consumers and generation firms. We develop a closed-loop equilibrium model to evaluate if generation firms have incentives to contract or import the socially-optimal volumes of natural gas to generate electricity. We consider a perfectly-competitive electricity market, where all firms act as price-takers in the short term, but assume that only a small number of firms own gas turbines and procure natural gas from, for instance, foreign suppliers in liquefied form. We illustrate an application of our model using a network reduction of the electric power system in Chile, considering two strategic firms that make annual decisions about natural gas imports in discrete quantities. We also assume that strategic firms compete in the electricity market with a set of competitive firms do not make strategic decisions about natural gas imports (i.e., a competitive fringe). Our results indicate that strategic firms could have incentives to sign natural gas contracts for volumes that are much lower than the socially-optimal ones, which leads to supernormal profits for these firms in the electricity market. Yet, this effect is rather sensitive to the price of natural gas. A high price of natural gas eliminates the incentives of generation firms to exercise market power through natural gas contracts.     

基于电价波动率的现货电价风险度量研究

风险度量因子的选取是风险度量的核心工作之一,统计性质好的指标通常能降低建模复杂度,提高精度。根据电价序列的特征及电价风险度量模型的特点,提出以电价波动率替代电价作为风险度量因子,避开电价序列的非平稳性,建立GARCH-VaR模型用于现货电价风险度量,以北欧电力市场的电价风险度量为例,对模型的可行性和有效性进行检验,并将所提出的电价风险度量方法与电价波动率正态分布法、电价ARMA-GARCH模型度量的电价风险进行比较。结果表明,所提方法不仅能有效降低电价风险度量的模型复杂度,还可提高风险度量的准确性。     

Dynamic model for market-based capacity investment decision considering stochastic characteristic of wind power

This paper proposes a decentralized market-based model for long-term capacity investment decisions in a liberalized electricity market with significant wind power generation. In such an environment, investment and construction decisions are based on price signal feedbacks and imperfect foresight of future conditions in electricity market. System dynamics concepts are used to model structural characteristics of power market such as, long-term firms’ behavior and relationships between variables, feedbacks and time delays. For conventional generation units, short-term price feedback for generation dispatching of forward market is implemented as well as long-term price expectation for profitability assessment in capacity investment. For wind power generation, a special framework is proposed in which generation firms are committed depending on the statistical nature of wind power. The method is based on the time series stochastic simulation process for prediction of wind speed using historical and probabilistic data. The auto-correlation nature of wind speed and the correlation with demand fluctuations are modeled appropriately. The Monte Carlo simulation technique is employed to assess the effect of demand growth rate and wind power uncertainties. Such a decision model enables the companies to find out the possible consequences of their different investment decisions. Different regulatory policies and market conditions can also be assessed by ISOs and regulators to check the performance of market rules. A case study is presented exhibiting the effectiveness of the proposed model for capacity expansion of electricity markets in which the market prices and the generation capacities are fluctuating due to uncertainty of wind power generation.     

对电价再度上调的分析

本文针对我国电力市场供需形势,对国家关于电价再度上调的原因做了分析,指出此次电价再度上调的目的与作用是:国家运用价格杠杆,缓解电力供需紧张状况;解决电力企业经营中存在的困难和问题;加速产业结构调整;营造电力市场化改革的良好环境。文中还提出了国家要抓紧电价的总体改革、研究并及时出台稳定电煤价格、保证电煤供应的有力措施、电力企业要注意提高企业内部科学管理,进一步制定开源节流措施等建议。     

Price volatility and residential electricity decisions: Experimental evidence on the convergence of energy generating source

The recent trend in most developed countries has been toward greater reliance on renewable or “green” energy sources. This paper investigates how price volatility in residential electricity rates impacts consumers' preferences for green power. Using a choice-based experiment, we present respondents with choice scenarios that feature two electric utility plans: (i) a conventional plan where electricity is generated from either coal or natural gas, and (ii) a green plan where electricity is generated renewably from either wind or solar. We then systematically vary the monthly price volatility of each plan across choice scenarios. Our results suggest that price volatility in monthly rates significantly impacts respondents' plan choices and, specifically, their decision to adopt the green power plan. In particular, increased volatility in the green power plan reduces the likelihood of respondents choosing the green plan, while increased volatility in the conventional plan increases the likelihood of respondents choosing the green plan. Moreover, the documented effects of price volatility are robust across different price premiums for the green power plan.     

Electricity market price volatility: The case of Ontario

Price volatility analysis has been reported in the literature for most competitive electricity markets around the world. However, no studies have been published yet that quantify price volatility in the Ontario electricity market, which is the focus of the present paper. In this paper, a comparative volatility analysis is conducted for the Ontario market and its neighboring electricity markets. Volatility indices are developed based on historical volatility and price velocity concepts, previously applied to other electricity market prices, and employed in the present work. The analysis is carried out in two scenarios: in the first scenario, the volatility indices are determined for the entire price time series. In the second scenario, the price time series are broken up into 24 time series for each of the 24 h and volatility indices are calculated for each specific hour separately. The volatility indices are also applied to the locational marginal prices of several pricing points in the New England, New York, and PJM electricity markets. The outcomes reveal that price volatility is significantly higher in Ontario than the three studied neighboring electricity markets. Furthermore, comparison of the results of this study with similar findings previously published for 15 other electricity markets demonstrates that the Ontario electricity market is one of the most volatile electricity markets world-wide. This high volatility is argued to be associated with the fact that Ontario is a single-settlement, real-time market.     

Electricity markets [The Business Scene]

Many countries are restructuring their electric power industries (EPIs) from regulated monopolies to a competitive market. Competition is expected to increase productivity and decrease production costs and the price of electricity. Countries are at different stages of the restructuring process, and the process is not finished. In spite of a wide variety of possible structures, four main electricity market models can be distinguished. The variations of electricity market are not perfect and differ from other markets. This is as a result of the fact that EPI is a complicated technologically unified electric power system (EPS). The main properties of an EPS and its influence on electricity markets are considered in this article.     

Welfare implications of capacity payments in a price-capped electricity sector: A case study of the Texas market (ERCOT)

The aim of this paper is to analyze the welfare consequences of introducing capacity compensation payments in restructured and liberalized electricity markets. For that purpose, we set up a two-stage framework in which two kinds of electricity generators, peak load and base load generators, choose their capacity investment levels first and then compete on the basis of bids in a centralized market to sell electricity to consumers. We use data from the Texas ERCOT to evaluate consumers' welfare. We find that the introduction of capacity payments has two countervailing effects. On the one hand, it increases the wholesale electricity price. On the other hand, it reduces price volatility and increases the reliability of the system. We find that capacity payments are more beneficial for consumers in a perfectly competitive market than in the presence of certain degree of market power.     

Fuel cost uncertainty,capacity investment and price in a competitive electricity market

This paper studies the effect of natural-gas fuel cost uncertainty on capacity investment and price in a competitive electricity market. Our model has a two-stage decision process. In the first stage, an independent power producer (IPP) builds its optimal capacity, conditional on its perceived uncertainties in fuel cost and electricity demand. In the second stage, equilibrium prices and quantities are determined by IPPs competing in a Cournot market. Under the empirically reasonable assumption that per MWh fuel costs are log-normally distributed, we find that a profit-maximizing IPP increases its capacity in response to rising fuel cost volatility. Consequently, the expected profit of the IPP and expected consumer surplus increase with volatility, rejecting the hypothesis that rising fuel cost uncertainty tends to adversely affect producers and consumers. Expected consumer surplus further increases if the IPP hedges the fuel cost risk. However, the IPP's optimal strategy is not to do so. The policy implication of these results is that the government should not intervene to reduce the price volatility of a well-functioning spot market for natural gas, chiefly because such intervention can have the unintended consequence of discouraging generation investment, raising electricity prices, and harming consumers.     

The effect of oil and stock price volatility on firm level investment: The case of UK firms

Crude oil price behaviour has become more volatile since 1973 which has a significant impact on macroeconomic variables such as GDP, inflation and productivity. Studies considering the effects of oil price changes on decisions at the firm level are comparatively few. Oil price volatility represents a source of uncertainty for firm profitability, valuations and investment decisions. This study examines the effects of industry uncertainty and market instability on total investment expenditures in UK firms. Generalized method of moments estimation techniques are applied to a panel data set of UK firms over the period 1986–2011. Tobin′s Q theory is applied to estimate the investment model, which is augmented with measures for both macroeconomic and industry specific uncertainty. Stock price uncertainty seems to be positively related to investment. On the other hand, there is a U shaped relationship between oil price volatility and firm investment. The results will be useful to decision makers, investors, managers and policy makers who need to make investment decisions in an uncertain world.     

过渡时期发电企业竞价模式研究

自2002年国家提出建立竞争性的电力市场的目标以来,多个采用不同竞价机制的区域电力市场试点已初步形成。但是由于我国的电力产业自身条件的特殊性和电价衍变过程的复杂性,决定了竞价机制改革必须在充分考虑历史遗留因素的条件下稳步推进。本文通过分析电价的衍变过程和电力市场化改革的区域试点工作,针对向市场化过渡的特殊时期所必须面临的问题,提出了一种新的发电企业竞价模式。该模式采用了新的两部制电价计算方法和电力市场运营模式,在有效解决电力产业的一些历史遗留问题的条件下,为不同技术类型、不同时期建设的发电机组提供了一个统一的竞争平台,同时为该模式提供了一些配套的政策建议。     

A review on the economic dispatch and risk management of the large-scale plug-in electric vehicles (PHEVs)-penetrated power systems

Nowadays, the deterioration of ecological environment and the ever rising gas price make green transportation our relentless pursuit. Energy-saving, low-emission even zero-emission electric vehicles (EVs) have been considered as one solution to the problem. With the rapid development of plug-in electric vehicle (PHEV) and forceful support and incentives from the government, PHEV and its supporting facilities are being gradually popularized. When randomly being connected to the power grid in large scale, PHEVs will bring new challenges to power grid in operation and management. This paper presents an overall review on historical research on power system integrated with electric vehicles and especially focuses on economic dispatch of PHEV in the electricity market. The paper also discusses the joint scheduling problem considering other renewable energy resources and risk management of PHEV-penetrated power systems.     

Comparative analysis of features of Polish and Lithuanian Day-ahead electricity market prices

The goal of this article is to better understand the processes of electricity market price formation in Poland and Lithuania through an analysis of the features (volatility and spikes) of Lithuanian and Polish day-ahead electricity market prices and to assess how acquired electricity price features could affect the achievement of the main goals of the national energy policy. The following indicators have been calculated to determine electricity market price volatility: the oscillation coefficient, the coefficient of variation, an adjusted coefficient of variation, the standard deviation indicator, the daily velocity indicator (based on the overall average price) and the daily velocity indicator (based on the daily average price). Critical values for electricity market price have been calculated to evaluate price spikes. This analysis reveals that electricity market-price volatility is moderate in Poland and high in Lithuania. Electricity price spikes have been an observable phenomenon both in Lithuanian and in Polish day-ahead electricity markets, but they are more common in Lithuania, encompassing 3.15% of the time period analysed in Poland and 4.68% of the time period analysed in Lithuania. Volatile, spiking and increasing electricity prices in day-ahead electricity markets in Lithuania and Poland create preconditions and substantiate the relevance of implementation of the national energy policies and measures.     

基于多周期GARCH-M模型的短期电价预测

电价的分布特性是电力市场风险管理和电力金融产品定价的重要依据。建立了一个采用虚拟变量和正弦函数来刻画现货电价序列多周期性特征的GARCH-M模型。该模型易于定阶、待估参数少,可同时处理电价序列的趋势变化、多周期、异方差及其与负荷之间的非线性相关性,具有一定的实用价值。对PJM电力市场历史数据的分析表明,电价分布的异方差和负荷的平方对电价均值具有显著的影响,电价序列具有周、半月、月、季、半年等多重周期和明显的波动集聚性。     

可再生能源绿证价格季节性测算方法研究

  目的  在市场化交易模式消纳可再生能源发电的发展趋势下,“市场电价+绿证收入”将成为未来可再生能源发电企业的主要经营模式。以可再生能源发电参与现货电能量市场为研究大背景,对可再生能源绿色电力证书的价格进行研究。  方法  基于现货电能量市场的优化出清模型,应用可再生能源全生命周期成本测算理论,以满足可再生能源发电企业的内部收益为目的,建立了绿证-电能量市场耦合的优化模型,并结合可再生能源季节性出力特性,提出了可再生能源绿证价格季节性曲线及其波动区间的仿真和测算方法。  结果  不同类型的可再生能源绿证价格不同,不同类型的可再生能源绿证价格的气候相关性亦不相同。  结论  绿证价格的科学合理测算不仅可以帮助可再生能源发电企业进行收益评估和制定更为准确的投资决策,还为电力市场主体与交易中心提供相关决策支持。     

The effect of variable renewable energy sources on electricity price volatility: the case of the Iberian market

The relationship between variable renewable energy supply (V-RES) and electricity price volatility is a controversial issue in the economic literature. In general, the literature has been inconclusive about the sign of the impact of installed capacity of these technologies on price volatility. This paper investigates the impact of V-RES on price volatility for the Iberian Market of Electricity (MIBEL), in the period ranging from 2010 to 2015. Using regression analysis and EGARCH models, we conclude that V-RES, and more specifically wind power supply, heightens price volatility. Likewise, greater intraday variability of V-RES also induces higher price volatility. Finally, following an analysis of the connection with the French market, we find that market coupling could help alleviate the sensitivity of price volatility to wind power supply variability.     

Policy changes and the dynamics of capacity expansion in the Swiss electricity market

Capacity of supply is a crucial matter in electricity markets as it directly influences reliability of supply, price volatility and blackout risk. In this paper, we analyse the dynamics of capacity expansion in the Swiss electricity market and the impact of different policies such as nuclear phaseout and management of electricity exchanges – imports and exports – policies. This article develops the conceptualization model presented in [Ochoa, P., 2007b. Policy changes in the Swiss electricity market: a system dynamics analysis of likely market responses. Socio-Economic Planning Sciences 41 (4):336–349.]. We build a system dynamics model based on the dynamics of capacity expansion explained in the latter paper and present and analyse different scenarios. We conclude that international electricity exchanges are important for the Swiss market as they help to lower costs and to increase the income of the utility companies; however, we illustrate the need for explicit policies for managing imports and exports of electricity to avoid import dependence from neighbouring countries.     

Valuing investment decisions of renewable energy projects considering changing volatility

Volatility is an important parameter when evaluating investments using the real options method. For renewable energy investments, the volatility of cash flow continuously changes, because as new information and knowledge are gathered, there is less foreseen variation. This paper proposes an extended recombining trinomial tree model, where the changing volatility is used to generate transition probabilities. The changing volatility is generated using a consolidation process where multiple random variables, including the market price of electricity, carbon price, and lending rate, are integrated into a low-dimension stochastic process. A two-factor learning curve is used to model the changes of investment cost. We apply the proposed model to analyze solar photovoltaic (PV) power generation investment in China. The results show volatility with changing feature. Compared with constant volatility, changing volatility may advance investment decisions and change the project value. Complete grid parity policy in the solar PV industry is infeasible because the opportunity cost brought by the option of delaying cannot be offset. The changing volatility may produce a lower and equally effective subsidy level compared with constant volatility. A carbon emission trading scheme is helpful in advancing investments in renewable energy, which is reflected in improvements in project value, advancements in investment decisions, and reductions in the required subsidy level.     

Dynamic competition in electricity markets under uncertainty

We study discrete-time infinite-horizon imperfect competition between asymmetric firms producing from different technologies. Specifically, one firm produces from hydroelectric units and the others operate thermal generators. This type of structure is common in some electricity markets. What makes this research interesting is that firms have different types of constraints, face different kinds of uncertainties, need to allocate their resources over time, and yet produce strategically. For the renewable energy holder, the key issue is how to allocate water between current and future electricity generation given the thermal firms' strategic actions along with demand and/or water inflow uncertainties. We analyze equilibrium outcomes (e.g., the price distribution) and market inefficiencies stemming from both production constraints and imperfect competition. We show that equilibrium price volatility and skewness are generally lower than optimal, although average price is higher than optimal. The hydro producer under-utilizes the available water, which leads to more water being available to smooth price fluctuations. However, in the extreme case of water inflows so plentiful that the hydro firm is never constrained, prices can be more volatile than optimal. We also demonstrate that the lack of social optimality of the market outcome is tempered by the capacity constraints: the welfare loss under the oligopoly market structure is much less than would occur in the absence of water and capacity constraints. These results are demonstrated using numerical simulations of the infinite horizon game, one of which is calibrated to match the characteristics of the Ontario wholesale electricity market.