Research On Generator's Electricity Allocation Tactics Under The Condition Of Electricity Futures Market

Along with the process of electricity market reform in china, electricity futures is expected to become a new futures species, so it has the necessity and urgency to study generators'electricity allocation strategy under the conditions of electricity futures market. As for this issue, there are many basic qualitative studies at home and abroad. Most of quantitative studies on the electricity allocation concentrate on physical electricity markets, few studies on this topic introduce the financial derivatives and these studies are based on a series of rough assumptions and linkages between markets in these studies are divided. In response to the situation, this paper points to generators'electricity allocation strategy under the conditions of electricity futures market.This study adopts qualitative and quantitative research method. At first, we analyze electricity futures trading mechanism, then we do some research on electricity futures prices characteristics based on the Nordic electricity market'trading data. On above bases, this study designs a generators'electricity allocation model and does a simulation. At last, we provide some relevant management recommendations. The main conclusions in this study are as follows: firstly, as a unique commodity, the relationship between electricity futures price and electricity spot price also meets the economic principles of hedging. Secondly, the return distribution in the electricity futures market and spot market in previous studies on similar issues is often based on normal distribution assumption. Through the empirical analysis, this study shows that the return distributions in two markets subject to Students't distribution, which has spiking behaviour and fat-tail characteristics.Compared with normal distribution, Students't distribution can describe the characteristics of the electricity market price volatility more accurately. Thirdly, this study do some in-depth analysis on characteristics of each market that generators will face in the future, then this study suggests that generators'forward contracts will face the potential risk of loss for prices rises during the delivery period, and then we can establishe a risk-suppressing mechanism with the application of electricity futures'hedging function. In this model, we set the basis between long-term contracts price and spot price as a target for hedging, which is an innovative formulation. On above bases, by resorting to portfolio theory and introducing above risk-suppressing mechanism, this article establishes a risk-return model, which can achieve a particular goal by optimizing the allocation of electricity in three markets. This article concludes that above model can help generators raise the level of risk and profit management level under the open and multi-market conditions with the help of risk management and simulation software Oracle crystal ball.This study does a systematic research on the issue of generators'electricity allocations strategy under the conditions of electricity futures market. we hope that this paper can provide macro-level reference for the domestic electricity market reform. What's more, we hope that the electricity allocation model and management administrations can bring new thoughts for domestic generators in new electricity era to help them raise their risk and return management level when electricity trading is introduced in china.