基于仿射跳跃-扩散过程的电力市场电价随机模型

基于金融工程理论的电价随机模型对于竞争性电力市场中的电力衍生产品定价、风险管理、资产定价及不确定条件下的投资决策等具有基础意义。文中提出了基于仿射跳跃-扩散过程的、具有2个和3个跳跃分量的电价随机模型以及一种新的参数标定方法。所提出的近似参数标定方法可利用历史电价数据快速求解模型参数，且计算量与电价样本点数量无关。由于直接根据历史电价的数字特征求解，不存在误差累积的问题。根据法国Powernext、德国EEX和荷兰APX等3个主要欧洲电力市场的历史日前小时电价数据标定了模型参数并采用Monte Carlo方法分析了模型的模拟效果。计算表明，文中提出的电价随机模型能够较为准确地描述电价的整体概率分布，满足进一步研究的需要。     

欧洲统一电力市场演变和日前市场出清模型

本文首先梳理了欧洲一体化电力市场的融合过程,介绍了用于计算电价及跨境容量的区域价格耦合项目;其次研究了泛欧混合电力市场集成算法,研究了节点边际电价、可用传输容量和基于潮流的市场耦合数学模型;最后总结了各种市场耦合模型的特点,并针对南方区域电力现货市场建设提出了建议。     

可中断电力合同中新型期权的定价

可中断电力合同是一种结合电力期权的风险管理工具，可有效地管理可中断负荷。可中断电力合同所结合的电力期权为新型复合电力期权而不是普通的期权，由于新型电力期权的复杂性导致不能求解期权价格的解析解，因此该文提出通过数值方法：蒙特卡罗法近似求解该复合电力期权的价格，并提出了该期权在无套利条件下的定价公式。该文通过电价的历史数据分析提出了电价的混合模型，以描述电价行为特性。算例对美国New England电力市场某月的复合电力期权进行定价，结果表明该期权价格与实际市场中的该期权价值间的误差小于5％，说明该文所提方法是有效的。该文提出的期权定价方法也适用于其它类型的电力期权，有推广价值和应用前景。     

计及可靠性的电力市场分时定价方法

发电上网分时电价与当时的发电燃料边际成本及供电风险密切相关,随机生产模拟计算可以给出系统的最优发电方式、燃料费用、边际发电成本及系统可靠性指标。在随机生产模拟计算的基础上,提出了3种既考虑电能成本又考虑风险成本（可靠性成本）的分时电价制定方案,并以某实际系统为例计算出典型日运行方式下每种方案的分时电价,同时统计出该运行方式下的峰、腰、谷分时电价比,为电网实现分时电价提供了参考和依据。     

System security control and optimal pricing of electricity

Optimal electricity spot pricing internalizes electricity transportation network costs and constraints. We extend spot pricing theory by including system security control issues in the model. The engineering and physics of system security control imposes a need for speed and precision of response. Traditionally this need has been met by central control of centrally owned equipment and little control of customer-owned equipment. We show that socially optimum prices exist which decentralize security control by internalizing its costs. These prices are robust and feasible to determine without unreasonable information requirements by the market maker. Families of optimal prices and price/quantity controls are determined and interpreted. Contingency planning and enhanced centre/market-maker roles are derived. Applications of immediate interest are also discussed, such as pricing of interruptible loads and assignment of power pool reserves. Symmetry between demand side and supply side security control is shown to be optimal.     

电力现货市场环境下提供位置信号电价机制的协同作用

对电价中的位置信号及能够提供位置信号的电价机制进行分类梳理和总结,对电力现货市场环境下电价中位置信号的作用进行分析;结合电力现货市场仿真,定量分析在不同的电网结构及系统阻塞条件下,电能量现货市场中的“节点边际电价（LMP）机制”和“分区输电定价”机制在实现其作为公共事业服务价格作用方面的协同作用关系;结合中国某省电网的实际情况,通过电力现货市场仿真和电价测算对分析结果进行验证,为中国电力现货市场环境下的电价机制选择提出建议。     

电力现货市场环境下提供位置信号电价机制的协同作用

对电价中的位置信号及能够提供位置信号的电价机制进行分类梳理和总结,对电力现货市场环境下电价中位置信号的作用进行分析;结合电力现货市场仿真,定量分析在不同的电网结构及系统阻塞条件下,电能量现货市场中的“节点边际电价（LMP）机制”和“分区输电定价”机制在实现其作为公共事业服务价格作用方面的协同作用关系;结合中国某省电网的实际情况,通过电力现货市场仿真和电价测算对分析结果进行验证,为中国电力现货市场环境下的电价机制选择提出建议。     

Extended ARMA models for estimating price developments on day-ahead electricity markets

In this paper extended models for estimating price developments on electricity markets are presented. The models consider deviations from the normality hypothesis of the prices. Based on an ARMA model combination with GARCH, Gaussian-mixture and switching-regime approaches are comparatively discussed. The comparison is based on historic electricity prices of the spot and two reserve markets in Germany. It is shown that the proposed extended models lead to significantly improved representations of the considered stochastic price processes. It is inferred that these models may be preferred for estimating price developments on electricity markets.     

A Hybrid System-Econometric Model for Electricity Spot Prices: Considering Spike Sensitivity to Forced Outage Distributions

With the current trend in deregulation, all electricity markets have been subject to volatile electricity prices, typically in peak season. As markets mature, new financial and operational risk management instruments are becoming available. In order to price such instruments, a model for the underlying price process is required. In this paper a hybrid model is described that contains aspects of the power system, as well as the historical time-series of spot prices observed in the market. By including both aspects of the problem, a model with both economic and system-based aspects is created. Its modular design allows easy adaptation to different markets based on generating system reliability, load patterns, and price histories. The spot price histories are manifest in two probability distributions for these prices, whereas the system specifics are included via load and generation models which are calibrated to the climate and system of interest.      

Modeling and pricing of block flexible electricity contracts

This paper presents a model for block flexible electricity contracts (BFEC) and focuses on pricing the BFEC based on the principle of no-arbitrage. Energy is traded in blocks according to its time duration at different block prices, which is called block trading. The BFEC requires the buyer or the seller to schedule its trading amount and the certain block of power at each time interval. The block trading needs to divide the power into several blocks, the prices of each power block are obtained from market clearing price. By using the autoregressive model AR(n) as stochastic block price model, an optimal scheduling strategy can be achieved by stochastic dynamic programming. The price of BFEC is determined by the variables and schedule of the BFEC. Contracts with different choices of block are studied and the simulations illustrate the block flexible electricity contracts can improve power market efficiency.     

市场环境下分布式光伏协调售电交易机制及策略

推进分布式电源参与电力市场交易是能源发展与市场发展的必然要求,而分布式电源可通过售电公司代理的方式参与市场。在现货市场背景下,以分布式光伏为例,针对协调售电的模式,提出了以售电公司购电成本最小化为目标的交易决策模型。设计了代理双方“双价格”的合约定价机制,分别基于预测电价及实际电价确定优化决策价格和结算价格,前者用于模型优化,后者用于合约结算,从而实现代理双方的利益平衡,为售电公司代理并管理分布式光伏发电从而促进市场环境下分布式光伏的有效利用提供思路,也为售电公司在新的代理关系下参与现货市场申报提供依据。     

电力市场下的无功实时电价研究

介绍了实时电价理论、实时电价数学模型以及近年来国内外学者在电力市场环境下无功实时电价领域的研究成果和经验,详细分析了各无功实时电价模型的优缺点,并对无功实时定价方法进行了评估,对无功电价的实际制定工作提出建议:无功定价模型应考虑负荷的不确定性、投标策略的不确定性等因素;需要有更精确的无功生产、维护成本以及发电机无功功率机会成本模型;无功电价应整合区域牲和输电投资;确保无功实时电价在线计算的应用性和灵敏度。     

电力市场中的一般均衡与无功定价

从电力市场的一般均衡理论出发，通过描述电力市场决策模型与一般均衡模型之间存在的必然联系，建立考虑无功功率和有功功率2种商品的电力市场竞争性均衡模型，并利用等报价方法对此均衡模型进行求解。通过对无功功率定价问题的研究，指出一般均衡理论与节点电价理论之间存在的区别。最后，通过IEEE30节点系统的仿真计算表明，电力市场的一般均衡是普遍存在的，可以作为电力市场决策的依据。     

Inversion of real time spot prices in the direction of real powerflow in a transmission line

An increasing number of electricity markets employing some form of spot pricing. However, limited experience of the behavior of spot prices exists. This paper introduces and investigates one particular aspect of pricing behavior observed in the New Zealand spot market, known as “price inversion”. Spot prices are generally calculated using some form of OPF or power-flow software. The phenomena of price inversion is investigated using the DC power-flow implemented in the New Zealand spot market, and using a full AC power-flow. Price inversion is shown to be dependent on the physical characteristics of the power system. The economic implications of price inversion are also discussed     

电力金融市场综述

电力金融市场是电力现货市场发展的必然产物,它有利于发现电力真实的价格,促进电力市场公平竞争;并能为市场交易者提供风险管理工具,抑止现货电价飞升,有利于电力市场的稳定。电力金融市场的研究对于设计高效、合理的中国电力市场框架和电力交易机制有着重要的参考价值。文中在介绍各国电力金融市场的基础上对电力金融产品进行归类研究,包括电力期货和电力期权的分类。着重论述了电力金融市场的2个关键问题:电力期货的套期保值策略和电力期权的定价方法,推导了电力期货的动态和静态最优保值率公式和电力期权基于BlackScholes模型和MonteCarlo模拟的定价公式。通过对现有研究的分析和评论,最后提出了电力金融市场方面几个重要的研究领域。     

集成定价法在输电电价中的应用

对输电电价的定价方法进行了研究,对输电网的成本进行了分析,将其成本分为固定成本和变动成本2大类,固定成本基本上不随时间变化,变动成本随时间变化而不断改变。提出了集成定价思想,即对输电网的固定成本采用综合成本定价法,按最大需量进行分摊,而对变动成本则采用基于边际成本定价法的实时电价并进行实时分摊,两者有效结合即得出输电网的电价模型。该模型可称为集成定价法下的节点电价模型,可以应用于实时电价、分时电价、日前市场电价和远期合同电价。通过算例说明了该电价模型的具体应用。     

Pricing flexible electricity contracts

This paper is concerned with pricing of electricity contracts that allow flexible scheduling of the supply or demand of electric energy. The contracts are priced based on the principle of no-arbitrage. Variables of the contracts are used to determine arbitrage opportunities and the price of contracts. Pricing of flexible contracts involves a scheduling policy. By representing the spot price with an appropriate stochastic process, the scheduling policy can be found using stochastic dynamic programming. Simulation examples illustrate the tradeoffs between prices and scheduling flexibility     

A Model for Efficient Consumer Pricing Schemes in Electricity Markets

Suppliers in competitive electricity markets regularly respond to prices that change hour by hour or even more frequently, but most consumers respond to price changes on a very different time scale, i.e., they observe and respond to changes in price as reflected on their monthly bills. In this paper, we examine mixed complementarity programming models of equilibrium that can bridge the speed of response gap between suppliers and consumers yet adhere to the principle of marginal cost pricing of electricity. We develop a computable equilibrium model to estimate ex ante time-of-use (TOU) prices for a retail electricity market. It is intended that the proposed models would be useful 1) for jurisdictions (e.g., Ontario) where consumers' prices are regulated, but suppliers offer into a competitive market, 2) for forecasting forward prices in unregulated markets, and 3) in evaluation and welfare analysis of the policies regarding regulated TOU pricing compared to regulated single pricing     

Stochastic Simulation of Spot Power Prices by Spectral Representation

Simulating the random changes of power prices is a crucial task for operational and trading decisions. Currently, models stemming from econometrics and financial mathematics represent the dominating approach to the stochastic simulation of electricity prices. This work proposes a novel methodology based on frequency-domain techniques for simulating the random fluctuations of hourly electricity prices according to probabilistic and spectral properties observed in historical data. The developed nonparametric algorithm is based on the well-known spectral representation method. The method has been extended to accurately reproduce the remarkable non-Gaussian and local nonstationary features of power prices. An iterative procedure and a nonlinear memoryless transformation have been applied to simultaneously match the observed evolutionary spectral content and the marginal non-Gaussian probability density function (PDF) of the random power price fluctuations. The proposed method is general and can be applied to any power market as it does not require the postulation of a model structure and the calibration of model parameters. The method is computationally very efficient as it takes advantage of fast Fourier transform techniques. Spot prices quoted on the German EEX have been selected for extensively testing the quality of the synthetically generated prices. Results show that price samples simulated with the proposed model replicate very accurately both the distributional and time-varying spectral features of the stochastic electricity price dynamics.     

结合期权理论的双边可选择电力远期合同模型

作为电力市场风险管理的一种有效手段,可选择电力远期合同交易以其灵活性和多样性具有良好的应用前景。提出了一种合同双方均有选择权的电力远期合同模型,根据期权定价思想给出了合同价格计算方法,并通过一个合同买卖双方各自追求最大期望报酬的均衡模型,给出了有关期权敲定价的均衡选择。分析表明,该可选择远期合同模型具有一些良好的特性,它克服了现有文献中合同模型的一些不足。