Mode, Price And Risk Research In Time-bargain Of Electric Power Markets

With the development of market economy and the more deeply reform of electric power market in our country, the electric power transaction will focus on the agreement bargaining with the supplement of the spot transactions, timely, will proceed time-bargain. And the electric power will become a type of time-bargain merchandise in the future, so it is urgent to testify and develop the theory of time-bargain of the electricity power. This thesis aims at the characters and disciplinarians of the electric power's time-bargain, which adopts the grey system theory and the statistics theory to have a deep discuss on the trading mode of the electric power market and the prediction method of futures'price. The thesis elaborates the countermeasure of the risk management in electric power market of our country systematically. And the mathematical model of the risk evaluation in the time-bargain of power market has been given. It includes:1. The conception and mode of electric power market has been introduced. The thesis describes the development history and present research of electric power market and its theory at home and abroad. And it analyzes several existing trading modes, and constructs a new trading mode on electricity power which includes the combine of futures and spot trading.2. Based on the introduction of several methods of price forecasting, by adopting the grey model theory, the thesis brings up one improved method to GM(1,1) model and establishes ameliorated Equal-dimension-new-information GM(1,1) model. After a test for the price of real time-bargain,a good result is obtained showing the improvement of the forecasting precision.3. Try to apply Bayes theory in forecasting the time-bargain market price of electric power market, by the calculation and comparing of the error of different order's Bayes Regress forecasting model, the thesis determines the most accommodated order. And then, the thesis applies Bayes Regress forecasting model of the appropriate order in the real price of the Nordpool time-bargain market, and obtains a good result at last.4. Based on the systematical introduction of the risk identifications and management countermeasure in electric power market, the thesis combines the risk conception in time-bargain of electric power market. Except for those, the thesis which has do research on the avoiding risk of hedging in time-bargain of electric power market by instances, gives a risk evaluation in electricity future market, and the mathematical model of the risk evaluation in time-bargain of electric power market has been given.At last, the summary is given on the basis of the discussion in this thesis and then some suggestions for further study are offered.