竞争性电力市场中电价的多标度分形实证分析  

Empirical Research on Multifractal Behavior of Electricity Price in the Competitive Market

作　　者：陈伟[1] 周晓阳[1] 尚金成[2] 余翔[1] 王壬[3] 

机构地区：[1]华中科技大学数学系,湖北省武汉市430074 [2]河南省电力公司电力交易中心,河南省郑州市450052 [3]华中科技大学水电与数字化学院,湖北省武汉市430074

出　　处：《电力系统自动化》2007年第17期31-34,共4页Automation of Electric Power Systems

基　　金：国家自然科学基金资助项目(70271069)~~

摘　　要：利用多标度分形理论,对竞争性电力市场中电价波动的内部复杂机制进行定量描述,发现了电价具有多标度分形特征,分析了多标度分形谱与电价波动过程的关系。实证分析与计算结果表明,多标度分形谱能较准确地反映电价波动的实质,从而弥补了传统预测模型在非有效市场条件下的不足,这有助于市场管理者制定行之有效的市场规则来进行风险管理。This paper uses multifractal theory to make a quantitative description on the complex mechanism of internal electricity price fluctuation in the competitive market, finds that the multifractal characteristic of the electricity price, and analyzes the relationship between the multifractal spectrum and the process of electricity price fluctuation. The calculation results show that the multifractal spectrum can effectively reflect the essence of the electricity price fluctuation, therefore compensate for the inadequacies of the traditional forecasting models under inefficient market environment, which is helpful for administrators to make effective market regulations for risk management.

关 键 词：电力市场 风险管理 多标度分形谱 奇异指数 分形维 

分 类 号：F407.61[经济管理—产业经济]