基于多重分形理论的电力市场风险价值评估  

Evaluation of Value-at-risk in Electricity Markets Based on Multifractal Theory

作　　者：刘伟佳[1] 尚金成[2] 周文玮 文福拴[1] 林振智[1] 

机构地区：[1]浙江大学电气工程学院,浙江省杭州市310027 [2]河南电网电力交易中心,河南省郑州市450052

出　　处：《电力系统自动化》2013年第7期48-54,共7页Automation of Electric Power Systems

基　　金：河南省电力公司科技项目(H20113541)~~

摘　　要：现有的有关电力市场与分形理论相结合方面的研究大多局限于实证分析,还没有上升到风险指标的构造与计算方法层次。在此背景下,首先利用多重分形消除趋势波动分析法对电价波动进行多重分形分析,验证电价波动的多重分形特性。然后,结合回归间隔法,提出了一种适于衡量多重分形分布电价波动所引起的电力市场风险价值的方法,并在此基础上建立了输电公司短期购电组合的风险优化模型。以国际上较为流行的单一购买者模式的电力市场为背景,针对作为单一购买者的输电公司,基于美国PJM电力市场中的实时电价数据,分析了输电公司单位购售电收益因电价波动而产生的市场风险,并以典型日为例进行购电组合的风险优化。算例结果表明,所提出的方法不仅能更准确地描述电价波动,而且可以适应不同时期的电价波动特点并有效量化风险,为输电公司对购电组合进行风险优化提供了新的方法。Although some empirical analysis has already been done on the application of the fractal and multifractal theories in electricity price modeling,appropriate risk indices and associate calculation methods have not yet been systematically addressed.Given that,the well-established multifractal-detrended fluctuation analysis（MF-DFA）is employed to analyze and validate the multifractal characteristics of electricity price series.Then,a return interval approach（RIA）based method is presented to calculate the value-at-risk（VaR）caused by the electricity price fluctuations in electricity markets.Based on the proposed method,a risk optimization model for a short-term purchasing portfolio of the transmission company is developed.Finally,practical real-time electricity price data from the PJM electricity market in USA is served as a case study for analyzing the financial risk of a transmission company acting as a single buyer.Moreover,the risk optimization model is employed to determine the purchasing portfolio of typical trading days.It is demonstrated by simulation results that the developed RIA based VaR calculation method can accurately reflect the financial risk of the transmission company in a single-buyer electricity market,but also adapt to different fluctuation characteristics of electricity prices in different time periods.It provides a new method of risk optimization of purchasing portfolio for transmission companies.

关 键 词：电力市场 风险管理 多重分形理论 回归间隔法 风险价值 

分 类 号：F426.61[经济管理—产业经济]