Research On Market Microstructure Theory And Implementation Path Of Financial Markets For Electricity

Financial market for electricity is the combination of theory and technology in the fields of power system, economics, optimization theory, computer and information engineering, finance and stock market. Different countries face different economic situations and electric power structures; therefore there has not been a universal marker operation pattern for electricity financial markets yet. At First, a systematically research about three key theoretical issues on electricity financial market's microstructure is made, including:(1) market microstructure and trading mechanism; (2) efficiency theory, efficiency model, as well as identification methods; (3) risk theory, market risk model and method of early-warning. Based on the studies above, the necessary market microstructure and boundary conditions for various development stages of electricity financial market are analyzed, and then the implementation path for financial markets of our electricity has been designed.On the basis of summarizing and analyzing theoretical study and practical results domestically and abroad, four innovations are achieved as follows:(1) Using theories of electricity market, financial market and market microstructure for reference, the theory of financial market microstructure for electricity has been built, which is the design theory and analysis framework for this market. The trading models, which is of call auction trading, continuous auction trading, market maker trading, as well as information on the impact of price, are established respectively. These models would show the operation mechanism of electricity financial market.(2) To the market efficiency issue, the two-dimensional model and identification method "pricing efficiency and information efficiency" has been proposed, which is considered with trading price. Hereafter, Nordic electricity financial market is made as an example for empirical study. The theory and methods sections have been focused on market efficiency theory and transaction cost theory, which use financial market efficiency theory and transaction cost theory of economics for reference. As to the flaws of existing market efficiency theory that ignores transaction cost, the two-dimensional model and identification method named pricing efficiency and information efficiency has been proposed, which is considered with trading price. In the empirical part, the research on Nordic electricity futures (day futures) has been carried out. New ideas about price risk warming and market design of financial markets for electricity are provided.(3) According to the market characteristics as well as the relationship characteristics between contract price and spot market of electricity, the electricity financial market's risk early-warming model and method is proposed, which selected spots & area. The method has provided a kind of good idea for market risk management of electricity financial markets.(4) Basing on microstructure theory of financial markets for electricity and the reality of China, the microstructures of current electricity market and effective electricity financial markets are analyzed, and then the differences of them are pointed out. Subsequently, the view that is market-building process is also the evolution process of market microstructure has been put forward. Then, further analyses on the necessary market microstructure and boundary conditions for various development stages of electricity financial market are made, the implementation path for financial markets of China's actual electricity has been designed finally.