基于高阶矩波动特性的大用户多期购电组合风险分析  

Risk Analysis on Large Consumer's Multi-phase Power Purchasing Portfolio Based on Higher Moments Volatility Characteristics

作　　者：瞿斌[1] 范明武 

机构地区：[1]华北电力大学经济管理学院,北京102206

出　　处：《现代电力》2015年第3期60-65,共6页Modern Electric Power

基　　金：国家自然科学基金资助项目(71271084)

摘　　要：直购电环境下,大用户需要综合考虑收益和风险的权衡问题,进行多个市场、多个阶段的购电决策。在短期市场中,电价往往具有较强的波动性,且呈现尖峰、厚尾的特点,本文考虑到实时电价序列二阶矩、三阶矩、四阶矩的时变特征,运用ARIMA-GJRSK模型对其进行拟合,并提出"轮盘赌"的模拟方法。进而,针对日前和实时两个电力市场,建立大用户期末收益最大、多期一致性风险测度指标最小的购电组合优化模型。算例结果表明,多期购电组合决策要优于单期连续决策,所建模型可以为大用户购电决策及其风险度量提供支持。During direct power purchasing,large consumers need synthetically consider the balance between risk and profit,and purchase power among multi-markets and during multi-phases.In the short-term market,electricity price usually have such characteristics as strong volatility with excess kurtosis and heavy-tail.In this paper,the time-varying characteristics of second,third and fourth moments of spot price are considered,and Roulette simulate method is proposed by using the ARIMA-GJRSK model to fit spot price series.Then,as to day-ahead market and spot market,an optimal direct purchasing portfolio model is built with such objectives as the maximizing expected profit and minimizing multi-phase coherent risk measurement index.Calculation result shows that multi-phase power purchasing portfolio strategy is better than single-phase successive decision-making scheme,and proposed model provides reference for large consumers＇power purchasing decision-making and its risk measurement.

关 键 词：大用户直购电 多期一致性风险测度 高阶矩 ARIMA—GJRSK模型 

分 类 号：TM734[电气工程—电力系统及自动化]