基于蒙特卡洛模拟的电力市场风险评估研究

电力市场中,市场参与者以自身利益最大化为行动导向。由于市场的不完善,市场参与者的逐利行为有可能会导致市场风险。为了规避市场风险,对其进行评估是十分必要的。基于风险经济学中的风险评估理论,以电价为切入点,将市场参与者的报价看成随机变量,利用蒙特卡洛法建立了一套市场风险评估模型。该模型不需要借助市场运行的历史数据,就可以快速、有效地评估出市场风险,为市场机制设计人员提供有益的参考。

Research on evaluating risk of power market based on Monte Carlo simulation

In the electricity market, the participants make their best effort to get more profit. What they do may produce market risk. In order to avoid this risk, evaluation on market risk is very important. In this paper, the bidding strategy of participants is looked as a variable, so the price is also a variable. Based on the theory of risk economics, this paper uses Monte Carlo simulation to establish a model that can be used to evaluate market risk without any running data of market. This model can be used as an assistant tool in designing power market mechanism to design more excellent market mechanism.