引入价格风险抑制目标的电力市场竞价机制研究

One of the most important issues in electricity market design is to create an appropriate auction mechanism. Current research focus on the economic efficiency, but neglect the ability of auction mechanism to control price risks in electricity market. In a real electricity market, electricity price have displayed large fluctuations, and this results in huge price risks to affect the stability of electricity market seriously. The main contribution of this project is that we introduce the risk control ability into the electricity auction mechanism design, and the auction mechanisms we proposed can control market risks and enhance the economic efficiency simultaneously. Our research will promote the develepment of the electricity market, and enrich the auction theory. .We start with the analysis of price formation in electricity market, to find out all factors which cause the electricity price fluctuations, and devide them into two kinds accroding to the way they influence the price: some factors influence price fluctuations periodically; some factors influence price fluctuations randomly. The former we called periodical factors, while the later called random factors. We then eliminate part of price fluctuations caused by periodical factors though Kernel Principle Component Analysis(KPCA). We measure electiricity market price risk caused by random factors, based on CVaR, and identify the key factors which cause price risks in electricity. It is worth to point out that in our research, we manage these key factors reasonably in order to introduce the risk control ability into the electricity auction design. Our creative job is that these key factors are endogenous variable in designing electricity auction mechanisms. In particular, we propose the auction mechanisms based on Vivkery-Clarke-Groves mechanism, and the transfer payments play a pivotal role in our model. Fothermore, the influential degree of these key factors is one of the measurements which determines how much transfer payments a winner can gain in electricity auction, this gives the mechanism the ability to control elctricity market risks. At the same time, we desive the distribution system of transfer payments to ensure the economic efficiency of our mechanisms. At last, We conduct theoretical and empirical analysis based on the real data in electricity market.

竞价机制是电力市场的核心问题之一。目前的研究注重经济效率，忽略了抑制价格风险对电力竞价机制设计的内在要求。实际电力市场中电价波动十分剧烈，导致参与者面临巨大的风险。本项目引入价格风险抑制目标，在综合考虑效率与风险的基础上设计电力竞价机制，以促进电力市场的稳定及健康发展，并丰富电力市场理论和拍卖理论。. 项目拟从电价形成机制入手分析影响电价波动的因素，用核主成分分析法(KPCA)滤出周期性因素引起的电价波动之后，采用CVaR方法测量随机性因素导致电价波动所产生的电力市场价格风险，进而识别影响风险的关键因素。然后将这些因素作为内生变量引入到竞价机制设计中，拟在运用VCG原理设计竞价机制的过程中把这些因素对价格风险的影响程度作为衡量转移收益的指标之一，并通过设定转移收益的分配方式实现所设计的机制在提高经济效率的同时能抑制市场价格风险。最后结合我国电力市场的实际数据进行仿真分析。

由于电能不能大量储存且其传输受到输电线路输送极限及电网稳定条件限制，电价相对于其他商品而言波动得异常剧烈，导致电力市场的风险远高于其它产品市场，市场参与者面对巨大的市场风险，甚者严重影响电力市场的稳定和发展。加州电力市场出现危机以后，理论和实践中对电力市场风险问题给予了高度的关注。本项目利用金融风险管理的新技术度量电力市场价格风险，为电力市场的风险管理提供理论支持，同时本项目引入价格风险抑制目标，在综合考虑效率与风险的基础上设计电力竞价机制，以促进电力市场的稳定及健康发展，并丰富电力市场理论和拍卖理论。. 本项目的主要研究内容及结果主要体现在三个方面：. 一是电价波动的影响因素分析及电力市场价格风险的度量。本项目从供给和需求角度分析了电价波动特点的形成机制，认为负荷容量比是影响电价波动的重要因素，而现有的研究只是基于电价的时间序列来处理电价的波动特性，并没考虑影响电价的因素。所以本项目运用门限回归的思想，对电价序列建立以负荷容量比为门限变量的门限GARCH 模型进行实证分析，这是本项目的重要创新之一。模型估计结果显示，电价的波动存在门限效应，当负荷容量比大于门限值时电价的波动会变得非常剧烈，这一结论对引导电力投资具有很重要的意义。对电价收益率序列建立了以负荷容量比为门限变量的门限TGARCH-I模型来计算电力市场CVaR，新模型计算电力市场CVaR精度有所提高。. 二是运用Vickery-Clarke-Groves原理设计具有价格风险抑制功能的双边市场竞价机制。在所设计的机制中，是以各参与者对市场的风险抑制贡献来进行市场收益分配和结算的，通过设定转移收益的分配方式实现机制设计中效率和风险兼顾的目标。竞价成功的参与者的支付由电量收入（支出）和转移收益两个部分构成：电量收入（支出）是按照参与者实际报价计算得到的；转移收益的分配是根据市场参与者的风险抑制贡献率进行的。. 三是分析市场参与者的竞价策略和风险管理策略。建立了一个发电公司为领导者和多个跟随者（可以是小规模或者新型能源的发电企业）的Stackelberg博弈模型，在考虑金融看涨期权的情况下，通过求解模型均衡分析各类发电公司的最优发电策略。这是本项目研究的创新之一，即采用Stackelberg模型分析发电公司的最优策略。另外项目构建了E-VaR 投资组合模型分析供电公司的多阶段购电组合策略。