电力期货市场相关问题研究

华中科技大学硕士学位论文电力期货市场相关问题研究姓名：高翔申请学位级别：硕士专业：电力系统及其自动化指导教师：毛承雄;陆继明20050510IGM11VerhulstDGM21aIIWiththedevelopmentofmarketeconomyandcapitalmarket,thereformofpowermarketwillbemoredeeplyandtheelectricpowerfuturesmarketwillbeestablishedinthefuture.Theelectricpowerfuturesmarketisasortofveryimportantmoneymarketinthepowermarket.Researchingthecharacteristicandruleofelectricpowerfuturesmarkethasimportantsignificanceformarketactorofavoidingthefluctuatingpowerpricesorspeculatingonarise.Theconceptionandeffectoftheelectricpowerfuturesmarketisadvancedinthispaperatfirst.Thedifferentoftime-bargainbetweenspottransactionsandlong-datedagreementbargainingiscompared,thenthebasictheoryframeoftheelectricpowerfuturesmarkethasbeenestablished.Theeffectofavoidingtheriskofelectricpowerfuturesmarketisresearchedinthispaperonemphases,pointedoutthatthemarketactorscouldtransferredthemarketrisktothespeculatorthroughhedging.Atthesametime,bythefunctionofpricefindingandmarketstabilization,thewholeriskofthepowermarkethasbeenreduced.Anotheremphasisofthispaperishowtoforecaststhepowerforwardprice.Withtheintroductionofseveralmethodofpricesforecasting,bytakingintothegreymodeltheory,GM11model,VerhulstmodelandDGM21modelareestablishedrespectivelytoforecastingtheforwardprice.Thenthemodelthatwhichhasthemostprecisionwillbeselectedbytheerrorevaluationwiththeforecastingpricesofeverymodel,takingintotheideaofsubsection,bestgreymodelisestablishedtoforecastthechangeoftheparametera.Abestgerymodelwithgreyparameterisestablishedtoforecastthepowerforwardpricesfinally,andagoodresultisobtainedinimprovingtheforecastingprecision.Finally,thepricecompetitionmodelbetweenthemarketactorsisproposed,andthepowervolumedistributionmodelwithinthetime-bargainandspottransactionsisalsoproposedwhenthepowerfuturesmarkethasbeenestablishedinthefuture.KeywordPowerMarket,PowerFuturesElectrovalenceGreyModelTheory11.12090[1][1]()1.121.11.1[2]20036631.21.2.118827200512312318821949676719491018543194919984990%802041998(1)(2)(3)1998,620001[3][4]1.2.25[5][6](1)(2)PhysicalContract(3)FinancialContract1.31.3.16[7]1.3.2(1)(2)(3)(4)1.171.3.3(1)(2)(3)(4)(5)(6)(7)(8)81.21.4[8][9][10]Breipohl[11]9[12]1.5102.12.1.1[13]37790%[14]112.1.2(1)(2)[15]12(3)(4)2.1.3[16][17](1)[18](2)(3)(4)132.22.2.12.1[4]14MWH2.2.2Tt=t0tn=Tt1t2t3tn-1tn=Tt0XlC1=(P1P0)X12.1P0t0P1t1X1t115K+1Ck+l=(Pk1Pk)Xk+l2.2:PktkPk+ltk+ltk+lXk+1tkXk+ltkXk+1tktk+lXk+ltktk+ltk+lPk+ltkPkPk+1PktkXk+l()11110nnkkkkkkCCPPX-++====-∑∑2.3T1100nckkQXQ-+==+∑PnCF(Q)PnQF(Q)Q()1110()()nnnkkkkCFQPQCFQPQPPX-++==-+=-+-∑2.40cQ≈[19]162.3[20][21][17]2.3.1172.3.22.3.32.3.4182.4[13][20]2.4.1WTO192.4.22.4.32.4.420036620200412.5213.13[22]2ss222()()()ExxVarxExxss=-==-3.1x()xEx=223.23.3233.3.1//[23][24]2.4p1110()()nnkkkkFQPQPPXp-++==-+-∑3.224min[Var(p)][25][26]1200471000/MWH2004950000MWH750000MWH1100/MWH9850/MWH950/MWH3.13.171000/MWH1100/MWH50000MWH99850/MWH950/MWH950000MWH150/MWH150/MWH150/MWH1000/MWH950/MWH1000/MWH3.2253.271000/MWH1100/MWH50000MWH991050/MWH1150/MWH950000MWH50/MWH50/MWH71000/MWH2200531000/MWH20055100MWH31100/MWH100MWH551150/MWH100MWH1250/MWH51150/MWH1000MWH3150/MWH150/MWH1000/MWH3.33.331000/MWH1100/MWH100MWH551150/MWH100MWH1250/MWH5100MWH150/MWH150/MWH265950/MWH100MWH350/MWH50/MWH1000/MWH3.43.431000/MWH1100/MWH100MWH55950/MWH100MWH1050/MWH5100MWH50/MWH50/MWH31000/MWH3.3.2273.3.33.4284.1[27][28][29][30]4.2(1)1998GoranKoreneff[31]WorkdayModelEveModel(Saturday)HolidayModel(Sunday)29A[32][33][3438]1997AWangBRamsayPowerPool(SMP)[39](3)2000[40](4)2000Bunn[41]30(5)1999PJMJeffreyBastian[42]PJMMAPS4.3aa31[43]GM(1,1)VerhulstDGM(21)a32aaGM1,1VerhulstDGM21[44]GM(1,1)GM1,1GMGreyModel4.3.1.1GM(1,1)X(0)=(0)(0)(0)[(1),(2),,()]xxxmL)4(nm≤≤X(1)=(1)(1)(1)(1)[(1),(2),(),()]xxxkxmLL(1)(0)1()()kixkxi==∑),,2,1(mkL=4.1(1)(1)GMGMdXaXudt+=4.21[,]()TTTGMGMGMGMGMGMGMauBBBYl-==4.333(1)(1)((2)(1))/2xx-+1GMB=(1)(1)((3)(2))/2xx-+1MM(1)(1)(()(1))/2xmxm-+-1)2()0(xGMY=)3()0(xM)()0(mx4.2(1)(0)(1)((1))exp(())GMGMGMGMGMGMGMuuxkxakaa∧+=--+),,2,1(mkL=4.4(0)(1)(1)(1)(1)()GMGMGMxkxkxk∧∧∧+=+-(1,2,,)km=L4.5(0)(0)(0)(0)[(2),(3),()]GMGMGMGMxxxxm∧∧∧∧=L4.64.3.1.2GM11GM(11)“S”GM(11)[45]4.3.2VerhulstVerhulstVerhulst18374.3.2.1Verhulst34X(0)=(0)(0)(0)[(1),(2),,()]xxxmL)4(nm≤≤X(1)=(1)(1)(1)(1)[(1),(2),(),()]xxxkxmLL(1)(0)1()()kixkxi==∑),,2,1(mkL=Verhulst(1)(1)(1)2()VVdXaXuXdt=-4.7[,]TVVVaul=(1)2()VuX1[()]()TTVVVVVVVVABABABYl-=MMM4.8(1)(1)((1)(2))/2xx-+VA=(1)(1)((2)(3))/2xx-+M(1)(1)((1)())/2xmxm--+(1)(1)2(((1)(2))/2)xx+VB=(1)(1)2(((2)(3)/2)xx+M(1)(1)2(((1)()/2)xmxm-+(0)(0)(0)[(2),(3),,()]TVYxxxm=L4.7(1)(0)(0)(0)(1)(1)(1)((1))exp()VVVVVVaxxkuxauxak∧+=+-)1,,2,1(-=mkL4.94.90Vat→∞(1)(1)Vxk∧+35SVVau0Vat→∞(1)(1)0Vxk∧+→(0)(1)(1)(1)(1)()VVVxkxkxk∧∧∧+=+-(1,2,,)km=L(0)(0)(0)(0)[(2),(3),,()]VVVVxxxxm∧∧∧∧=L4.3.2.2VerhulstVerhulst(0)2()VuX(0)X[46]SS4.3.3DGM21DGM214.3.3.1DGM21X(0)=(0)(0)(0)[(1),(2),,()]xxxmL)4(nm≤≤X(1)=(1)(1)(1)(1)[(1),(2),(),()]xxxkxmLL(1)(0)1()()kixkxi==∑),,2,1(mkL=DGMDGMudtdXadtXd=+)1(2)1(24.10361[,]()TTTDGMDGMDGMDGMDGMDGMDGMauBBBYl-==4.11)2()0(x-1=DGMB)3()0(x-1M)()0(mx-1)1()2()0()0(xx-DGMY=)2()3()