考虑期权交易的电力市场纳什均衡及发电商竞争策略研究
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摘要
全球性电力工业结构重组和解除管制的市场化改革,带来了电力系统运行方式的深刻变革,其目的在于通过引入公平竞争的市场机制,达到改善经济效率,实现电力资源的合理分配和社会效益的最大化。然而,由于电力工业存在进入壁垒高、需求弹性小、输电约束、输电损耗、电能不能大规模有效存储等特殊属性,决定了在电力市场中的一个供电区域只能有少数发电厂商提供电力,使得电力市场表现出明显的寡头垄断态势。在寡头竞争的电力市场环境下,市场参与者需要密切关注自己的决策行为及其产生的后果,而市场监管机构更需要研究不同市场模式下的市场特性和效率,因此科学合理的电力市场决策分析模型和方法的研究具有重要的理论和现实意义。而基于博弈论的各种寡头均衡模型是用来定量预测和研究各市场参与者的策略行为以及其对整个市场产生的影响的重要工具。本论文应用金融工程理论和非合作博弈理论结合电力工业的特点,研究电力期权对电力市场均衡和发电厂商竞争策略行为的影响,具体包括以下几个方面:
第一,对金融工程理论在电力市场中的应用进行了概述,对电力市场中存在的风险进行了分类,提出了电力金融合约市场的框架和电力市场风险管理的基本步骤,同时运用金融工程的相关理论研究了电力远期合约、电力期货合约和电力期权合约的特点、应用及定价问题,最后介绍了我国的电力资本和电力金融衍生产品市场,提出了我国电力金融市场的组成结构和发展过程中应注意的问题。
第二,电力金融期权是指标的物为电力、按照现金方式结算的期权合约。本文采用古诺模型描述发电厂商在金融看涨期权市场和现货市场中的竞争行为,首次建立了考虑负荷波动、目标函数连续可微的金融看涨期权市场与现货市场两阶段联合博弈模型,利用后向推导方法对模型进行了求解,分析了发电厂商参与策略性金融看涨期权交易的激励以及策略性金融看涨期权交易对发电厂商竞争行为的影响。结果表明:金融看涨期权交易可有效地抑制发电厂商的市场力滥用,降低现货市场电价,并且金融看涨期权对电力市场的作用要强于远期合约。
第三,电力物理期权的执行涉及到电能的实际交割,物理期权合约的持有者相当于拥有了一个虚拟的发电厂。根据物理期权的执行特点,本文首次建立了考虑发电厂商参与策略性物理看涨期权交易的两阶段古诺博弈模型,研究了策略性物理看涨期权交易对发电厂商现货市场竞争行为的影响。通过一个双寡头算例验证了模型的合理性和算法的有效性,分析了期权敲定价格、负荷波动率、生产成本等因素对发电厂商物理看涨期权交易策略的影响。结果表明:现货市场电价的高波动性会削弱发电厂商参与物理看涨期权交易的积极性,物理看涨期权对电力市场的作用要弱于远期合约。
第四,针对期权合约市场按双边/多边模式运作、现货市场按联营体模式运作的电力市场,建立了考虑金融看涨期权合约的期权市场与现货市场两阶段联合古诺博弈模型。该模型首次考虑了风险厌恶的购电商(用户)在金融看涨期权市场交易中的策略行为,分析了购电商(用户)的策略行为和风险厌恶心理对电力市场均衡和发电厂商竞价策略的影响。结果表明:发电厂商会利用购电商(用户)的风险厌恶心理在期权交易中行使市场力,抬高期权价格,以期从期权交易中获利,而且现货市场电价的高波动性进一步强化了发电厂商的市场力滥用行为。
第五,电力市场与其它商品市场最重要的区别是电力交易必须通过一个满足基尔霍夫定律的电力网络实时进行,因此要更全面地反映电力市场的实际情况,就必须考虑输电网络约束的影响。本文首次建立了一个考虑输电网络约束的电力金融看涨期权市场与现货市场联合古诺博弈模型,利用非线性互补方法及改进的Levenberg-Marquardt算法对模型进行了求解,分析了输电线路容量约束和环路潮流约束对发电厂商金融看涨期权交易行为的影响,考察了发电厂商在输电网络出现阻塞时行使市场力的行为模式,对于电力监管机构制定有效的市场规则和独立系统运行人(Independent System Operator,ISO)合理调度电力减少网络阻塞均具有重要的现实意义。
最后,实际电力市场中参与者之间的信息并不完全,这为市场参与者制定合理的竞争策略带来了很大的困难,也是研究电力市场竞价问题的难点。考虑到各国电力市场已运行多年,积累了一定的历史数据,可利用各种预测方法得到市场状态的概率分布,本文首次建立了一个基于预测等值竞争对手的投标行为概率分布的电力金融看涨期权市场与现货市场联合博弈模型,分析了不完全信息对发电厂商竞争行为的影响,为发电厂商制定合理的投标策略提供了相应的理论依据。
The worldwide restructuring and deregulation of electric power industry have significantly changed the operation mode of power systems. The objective is to introduce fair competition mechanism into electric power industry, improve the economic efficiency of electric power operation, realize the rational redistribution of power resources, and maximize the whole social welfare. However, the special attributes of electric power industry, such as entry deterrence, small demand elasticity, transmission constraints, transmission losses and no largely effective storage, make only a few suppliers be able to provide power services in some geographic regions. Consequently, the practical electricity market is more akin to be an oligopolistic market than a perfect competition market. In the oligopolistic electricity market environment, participants are supposed to pay much attention to the consequences of their own decisions while market regulators need to figure out the corresponding market features and efficiency of different modes of wholesale markets. Therefore the development of reasonable decision-making models and methods has significant implications in both theoretic and practical respects. In diversified research methods, a variety of oligopolistic equilibrium models based on game theory are the important instruments to quantitatively examine the strategic behaviors of market participants and their impacts on the whole market. Incorporating financial engineering theory and non-cooperative game theory, this dissertation addresses the impacts of electricity option contracts on the efficiency of electricity markets and generators' bidding strategies taking the special characteristics of electric power industry into account. Detailed contributions of this dissertation are listed as follows:
Firstly, the application of financial engineering theory in electricity markets is introduced, and the categories of risks in electricity markets are addressed. The framework of electricity financial derivatives markets is constructed and the basic procedure of risk management in electricity markets is proposed. The relative theory of financial engineering is applied to study the characteristics, application and pricing of electricity forward contracts, electricity futures contracts and electricity option contracts. The Chinese electricity capital market and financial derivatives markets are discussed, and the suggestion is introduced for the construction of Chinese electricity financial markets.
Secondly, the underlying asset of financial electricity option contract is electric power energy and it is settled by cash payment. The Cournot conjectures are used to model the generators' competitions in spot and financial call option markets, and a two-stage equilibrium model for spot and financial call option markets is established taking load fluctuations into account, where the objective function is continuous and differentiable. This model can be solved by backward induction method. The incentives for generators to commit financial call option contracts and the impacts of strategic financial call options contracting on generators' competitive behaviors are analyzed. It is shown that strategic financial call options contracting can effectively mitigate the abuse of market power of generators, lower the spot prices, and financial call option contract makes electricity markets more competitive than forward contract.
Thirdly, the physical electricity option contract is associated with actual delivery of power energy and the holder of a physical electricity option contract is equivalent to hold a virtual power plant. Based on the special characteristics of physical call option contract, a two-stage Cournot equilibrium model is established taking generators' strategic physical call options contracting into account. The impacts of generators' strategic physical call options contracting on generators' bidding strategies in spot market are addressed. A numerical example for two oligopolists is given to show the rationality and effectiveness of the proposed model and solution method. The impacts of the strike price of physical call options, the volatility of load, and the production cost on generators' strategic physical call options contracting are analyzed. The results show that the high volatility of spot prices weakens the enthusiasm of generators to trade physical call options, and physical call option contract has a lesser impact on electricity market than forward contract.
Fourthly, a two-period Cournot equilibrium model is established in financial call option and spot markets, where the option market is organized by bilateral or multilateral modes and the spot market is organized by bid-based pool, taking the strategic behaviors of risk averse purchasers in options contracting into account. The impacts of the strategic behaviors and risk evaded mentalities of purchasers on the equilibrium of electricity markets and the bidding behaviors of generators are analyzed. It is shown that in order to benefit from financial call options contracting, generators can exercise market power to drive up premium by utilizing the risk evaded mentalities of purchasers. The high volatility of spot price further strengthens the market power abuse of generators.
Fifthly, the most important difference between electricity markets and other commodity markets is that transactions of electric power energy can be fulfilled by utilizing a network in which the flow of energy obeys Kirchhoff's current law and Kirchhoff's voltage law and is limited by the thermal capacity of the links. Therefore, in order to more fully reflect the actual situation of the electricity markets, transmission constraints must be considered in equilibrium model. A joint Cournot equilibrium model in financial call option and spot markets is established taking transmission constraints into account. This model can be solved by a nonlinear complementarity method and an advanced Levenberg-Marquardt algorithm. The impacts of transmission constraints and loop flow on generators' strategic financial call options contracting are analyzed. The behavior patterns of generators exercising market power are inspected when the transmission network is congested. It is realistic significance for regulators to formulate effective market rules and independent system operator (ISO) to abatement transmission congestion by rationally scheduling electric power.
Finally, participants of electricity markets are not hold complete information, and this brings more difficulties for participants to develop reasonable bidding strategies and is also the difficulties to research the bidding problem in electricity markets. Considering that electricity markets around the world have been in operation for many years and a certain amount of historical data has been accumulated, so the probability distribution of market states can be obtained by utilizing various forecasting methods. With the assumption that probability density function of the bidding strategies of the equivalent competitors is able to be formulated by making use of the public information in electricity markets, a two-stage Cournot model in financial call option and spot markets with incomplete information is developed based on expected profit maximization. The impacts of incomplete information on generators' bidding strategies are analyzed, and the proposed method in this paper is helpful for generators to develop reasonable bidding strategies.
第一,对金融工程理论在电力市场中的应用进行了概述,对电力市场中存在的风险进行了分类,提出了电力金融合约市场的框架和电力市场风险管理的基本步骤,同时运用金融工程的相关理论研究了电力远期合约、电力期货合约和电力期权合约的特点、应用及定价问题,最后介绍了我国的电力资本和电力金融衍生产品市场,提出了我国电力金融市场的组成结构和发展过程中应注意的问题。
第二,电力金融期权是指标的物为电力、按照现金方式结算的期权合约。本文采用古诺模型描述发电厂商在金融看涨期权市场和现货市场中的竞争行为,首次建立了考虑负荷波动、目标函数连续可微的金融看涨期权市场与现货市场两阶段联合博弈模型,利用后向推导方法对模型进行了求解,分析了发电厂商参与策略性金融看涨期权交易的激励以及策略性金融看涨期权交易对发电厂商竞争行为的影响。结果表明:金融看涨期权交易可有效地抑制发电厂商的市场力滥用,降低现货市场电价,并且金融看涨期权对电力市场的作用要强于远期合约。
第三,电力物理期权的执行涉及到电能的实际交割,物理期权合约的持有者相当于拥有了一个虚拟的发电厂。根据物理期权的执行特点,本文首次建立了考虑发电厂商参与策略性物理看涨期权交易的两阶段古诺博弈模型,研究了策略性物理看涨期权交易对发电厂商现货市场竞争行为的影响。通过一个双寡头算例验证了模型的合理性和算法的有效性,分析了期权敲定价格、负荷波动率、生产成本等因素对发电厂商物理看涨期权交易策略的影响。结果表明:现货市场电价的高波动性会削弱发电厂商参与物理看涨期权交易的积极性,物理看涨期权对电力市场的作用要弱于远期合约。
第四,针对期权合约市场按双边/多边模式运作、现货市场按联营体模式运作的电力市场,建立了考虑金融看涨期权合约的期权市场与现货市场两阶段联合古诺博弈模型。该模型首次考虑了风险厌恶的购电商(用户)在金融看涨期权市场交易中的策略行为,分析了购电商(用户)的策略行为和风险厌恶心理对电力市场均衡和发电厂商竞价策略的影响。结果表明:发电厂商会利用购电商(用户)的风险厌恶心理在期权交易中行使市场力,抬高期权价格,以期从期权交易中获利,而且现货市场电价的高波动性进一步强化了发电厂商的市场力滥用行为。
第五,电力市场与其它商品市场最重要的区别是电力交易必须通过一个满足基尔霍夫定律的电力网络实时进行,因此要更全面地反映电力市场的实际情况,就必须考虑输电网络约束的影响。本文首次建立了一个考虑输电网络约束的电力金融看涨期权市场与现货市场联合古诺博弈模型,利用非线性互补方法及改进的Levenberg-Marquardt算法对模型进行了求解,分析了输电线路容量约束和环路潮流约束对发电厂商金融看涨期权交易行为的影响,考察了发电厂商在输电网络出现阻塞时行使市场力的行为模式,对于电力监管机构制定有效的市场规则和独立系统运行人(Independent System Operator,ISO)合理调度电力减少网络阻塞均具有重要的现实意义。
最后,实际电力市场中参与者之间的信息并不完全,这为市场参与者制定合理的竞争策略带来了很大的困难,也是研究电力市场竞价问题的难点。考虑到各国电力市场已运行多年,积累了一定的历史数据,可利用各种预测方法得到市场状态的概率分布,本文首次建立了一个基于预测等值竞争对手的投标行为概率分布的电力金融看涨期权市场与现货市场联合博弈模型,分析了不完全信息对发电厂商竞争行为的影响,为发电厂商制定合理的投标策略提供了相应的理论依据。
The worldwide restructuring and deregulation of electric power industry have significantly changed the operation mode of power systems. The objective is to introduce fair competition mechanism into electric power industry, improve the economic efficiency of electric power operation, realize the rational redistribution of power resources, and maximize the whole social welfare. However, the special attributes of electric power industry, such as entry deterrence, small demand elasticity, transmission constraints, transmission losses and no largely effective storage, make only a few suppliers be able to provide power services in some geographic regions. Consequently, the practical electricity market is more akin to be an oligopolistic market than a perfect competition market. In the oligopolistic electricity market environment, participants are supposed to pay much attention to the consequences of their own decisions while market regulators need to figure out the corresponding market features and efficiency of different modes of wholesale markets. Therefore the development of reasonable decision-making models and methods has significant implications in both theoretic and practical respects. In diversified research methods, a variety of oligopolistic equilibrium models based on game theory are the important instruments to quantitatively examine the strategic behaviors of market participants and their impacts on the whole market. Incorporating financial engineering theory and non-cooperative game theory, this dissertation addresses the impacts of electricity option contracts on the efficiency of electricity markets and generators' bidding strategies taking the special characteristics of electric power industry into account. Detailed contributions of this dissertation are listed as follows:
Firstly, the application of financial engineering theory in electricity markets is introduced, and the categories of risks in electricity markets are addressed. The framework of electricity financial derivatives markets is constructed and the basic procedure of risk management in electricity markets is proposed. The relative theory of financial engineering is applied to study the characteristics, application and pricing of electricity forward contracts, electricity futures contracts and electricity option contracts. The Chinese electricity capital market and financial derivatives markets are discussed, and the suggestion is introduced for the construction of Chinese electricity financial markets.
Secondly, the underlying asset of financial electricity option contract is electric power energy and it is settled by cash payment. The Cournot conjectures are used to model the generators' competitions in spot and financial call option markets, and a two-stage equilibrium model for spot and financial call option markets is established taking load fluctuations into account, where the objective function is continuous and differentiable. This model can be solved by backward induction method. The incentives for generators to commit financial call option contracts and the impacts of strategic financial call options contracting on generators' competitive behaviors are analyzed. It is shown that strategic financial call options contracting can effectively mitigate the abuse of market power of generators, lower the spot prices, and financial call option contract makes electricity markets more competitive than forward contract.
Thirdly, the physical electricity option contract is associated with actual delivery of power energy and the holder of a physical electricity option contract is equivalent to hold a virtual power plant. Based on the special characteristics of physical call option contract, a two-stage Cournot equilibrium model is established taking generators' strategic physical call options contracting into account. The impacts of generators' strategic physical call options contracting on generators' bidding strategies in spot market are addressed. A numerical example for two oligopolists is given to show the rationality and effectiveness of the proposed model and solution method. The impacts of the strike price of physical call options, the volatility of load, and the production cost on generators' strategic physical call options contracting are analyzed. The results show that the high volatility of spot prices weakens the enthusiasm of generators to trade physical call options, and physical call option contract has a lesser impact on electricity market than forward contract.
Fourthly, a two-period Cournot equilibrium model is established in financial call option and spot markets, where the option market is organized by bilateral or multilateral modes and the spot market is organized by bid-based pool, taking the strategic behaviors of risk averse purchasers in options contracting into account. The impacts of the strategic behaviors and risk evaded mentalities of purchasers on the equilibrium of electricity markets and the bidding behaviors of generators are analyzed. It is shown that in order to benefit from financial call options contracting, generators can exercise market power to drive up premium by utilizing the risk evaded mentalities of purchasers. The high volatility of spot price further strengthens the market power abuse of generators.
Fifthly, the most important difference between electricity markets and other commodity markets is that transactions of electric power energy can be fulfilled by utilizing a network in which the flow of energy obeys Kirchhoff's current law and Kirchhoff's voltage law and is limited by the thermal capacity of the links. Therefore, in order to more fully reflect the actual situation of the electricity markets, transmission constraints must be considered in equilibrium model. A joint Cournot equilibrium model in financial call option and spot markets is established taking transmission constraints into account. This model can be solved by a nonlinear complementarity method and an advanced Levenberg-Marquardt algorithm. The impacts of transmission constraints and loop flow on generators' strategic financial call options contracting are analyzed. The behavior patterns of generators exercising market power are inspected when the transmission network is congested. It is realistic significance for regulators to formulate effective market rules and independent system operator (ISO) to abatement transmission congestion by rationally scheduling electric power.
Finally, participants of electricity markets are not hold complete information, and this brings more difficulties for participants to develop reasonable bidding strategies and is also the difficulties to research the bidding problem in electricity markets. Considering that electricity markets around the world have been in operation for many years and a certain amount of historical data has been accumulated, so the probability distribution of market states can be obtained by utilizing various forecasting methods. With the assumption that probability density function of the bidding strategies of the equivalent competitors is able to be formulated by making use of the public information in electricity markets, a two-stage Cournot model in financial call option and spot markets with incomplete information is developed based on expected profit maximization. The impacts of incomplete information on generators' bidding strategies are analyzed, and the proposed method in this paper is helpful for generators to develop reasonable bidding strategies.
引文
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