基于远期合约与日前市场的大用户购电模型  

Electricity Purchasing Model for Large Customers Based on the Forward Contracts and Day-ahead Market

作　　者：鲁皓[1] 郭兴磊[2] 

机构地区：[1]重庆交通大学管理学院,重庆400074 [2]济南大学经济研究中心,山东济南250002

出　　处：《现代电力》2014年第6期76-80,共5页Modern Electric Power

基　　金：国家自然科学基金项目(71133007);重庆市自然科学基金项目(cstc2012jjA00040);重庆交通大学博士启动基金资助项目(101197)

摘　　要：基于大用户的视角,分析了基于多重结算系统的最优购电策略:在现金市场中讨论了日前市场,远期市场中讨论了远期合约和欧式看涨期权。以利润的条件风险价值CVaR最大化为目标,构建了大用户在日前市场的购电优化决策模型,给出了模型的解析解;并以此分析了日前市场电价、缺电损失和风险偏好对最优购电量的影响。结论表明:大用户在日前市场的最优购电量总会随着日前市场电价的递增而减少,随着缺电损失的递增而增加;大用户的风险偏好会影响其购电决策,影响程度共同取决于用电收益、日前市场电价和缺电损失。For large customers, the optimal electricity pur- chasing strategy is discussed based on the multiple settlement system. In the cash contract market, the day- ahead market is discussed, and forward contracts and European call option are also discussed in the forward market. Taking the maxi- mization of conditional value-at-risk （CVaR） as the objec- tive function, the optimal electricity purchasing model in the day-ahead market for large customers is built, and the ana- lytical solution of the model is also given. According to the analytical results, the effect of the electricity pricing of the day-ahead market, the outage cost and risk preference on the optimal purchasing power is analyzed. The results show that the optimal purchasing power of the day-ahead market for large customers will reduce with the increasing of elec- tricity price, and increase with the increasing of outage loss. In addition, risk preferences of large customers will influ-ence their power purchasing strategy, whose effect degree depends on such factors as the benefit from electricity, the electricity price of day, ahead market and the outage cost.

关 键 词：多重结算系统 电力金融衍生品 远期合约 日前市场 条件风险价值 

分 类 号：TM9[电气工程—电力电子与电力传动]