A Multifractal Risk Assessment Methodology For Power Generation Bidding

Under traditional power industry, there is no bidding strategy .Bidding strategy is a new problem emerged in power market as generation companies will be deregulated from the traditional monopoly power industry and take part in market competition as an independent market participant. The electricity market is not a perfect competitive one but rather the oligarch market, so the game behavior and unknown, uncertain factors exist in the power market. The power suppliers can maximize their own profits by bidding strategy. The generation companies concern about how to gain more profits and try to reduce any unnecessary losses. Generation companies must build optimal bidding strategies to maximize profits at fierce market competition. The paper focuses on the risk of generation companies bidding.Multifractal theories and a new risk measurement R f that is established on financial field are introduced in this paper, and the new measurement is tested effective by a concrete example. Multifractal characteristics are discovered in power market as the market price in PJM and the profit dates of generation companies are analyzed. Therefore the new risk measurement R f is introduced into power market.Finally, a simulation example is analyzed. At first, market price is simulated and the profit of generation companies is calculated based on three different bidding strategies. By calculating the multifractal spectrum, expect profit and R f with MATLAB7.0, the generator risk under different bidding strategy is analyzed, and its feasibility is also tested. And then, the new risk measurement is compared with the traditional risk measurement, the new risk measurement shows high sensitivities for strong fluctuation of profit date, it is more superior on extreme risk prediction. It don't depend on efficient market hypothesis, the limitation of traditional risk measurement is remedied effectively.