新电改下北京电力交易中心电力市场综合指数的交易分析
|
摘要
随着全国各地电力交易市场日益活跃、电力交易种类和数量日益丰富,如何有效地处理和分析电力数据将是交易中心面临的重要问题之一。首先分析国内外各类市场综合指数的编制方法和应用情况,提出描述电力市场结构和数量变化的北京电力交易中心电力市场综合指数(简称京电指数),为电力市场交易参与者提供参考并引导市场。然后借鉴道琼斯理论等市场综合指数理论在证券市场的应用经验,提出电力市场综合指数的计算和分析方法,并采用京电指数分析了电力交易市场的电力交易总量特点、季节波动性、区域差异性和交易类型差异。研究了影响电力市场综合指数指标的五大因素,即全社会总用电量、市场化放开比例、市场化交易价格、交易品种和放开地区。最后,利用京电指数的计算公式对2016—2017年电力市场数据进行算例分析,验证了京电指数能正确反映电力交易市场的交易情况。
It is an important problem to effectively process and analyze power data with the increasingly active power trading markets across the country and the increasingly abundant types and quantities of power trading.Firstly,this paper analyzes all kinds of index preparation methods and their application in domestic and foreign markets,and presents the index of Beijing Electric Power Exchange Center(referred to as electric power index)which reflects the change of the electric power market transaction structure and quantity of electricity market participants to provide the reference and guidance to the market.Then,by referring to the guidance and instruction effect of Dow Jones theory and other market composite index theories in the securities market,the calculation and analysis method of the power market composite index is presented.It also explains how to analyze the characteristics of total electricity trading volume,seasonal fluctuation,regional difference and transaction type difference with the electric power index.The five factors influencing the electric power market composite index are investigated,including the total electricity consumption,market liberalization ratio,market trading price,trading varieties and market access area.Finally,the calculation formula of the electric power index is used to analyze the power market data from 2016 to2017,and the results prove that the electric power index can accurately reflect the trade in the power exchange market.
It is an important problem to effectively process and analyze power data with the increasingly active power trading markets across the country and the increasingly abundant types and quantities of power trading.Firstly,this paper analyzes all kinds of index preparation methods and their application in domestic and foreign markets,and presents the index of Beijing Electric Power Exchange Center(referred to as electric power index)which reflects the change of the electric power market transaction structure and quantity of electricity market participants to provide the reference and guidance to the market.Then,by referring to the guidance and instruction effect of Dow Jones theory and other market composite index theories in the securities market,the calculation and analysis method of the power market composite index is presented.It also explains how to analyze the characteristics of total electricity trading volume,seasonal fluctuation,regional difference and transaction type difference with the electric power index.The five factors influencing the electric power market composite index are investigated,including the total electricity consumption,market liberalization ratio,market trading price,trading varieties and market access area.Finally,the calculation formula of the electric power index is used to analyze the power market data from 2016 to2017,and the results prove that the electric power index can accurately reflect the trade in the power exchange market.
引文
[1]杨朝军.证券投资分析[M].上海:上海人民出版社,2002.YANG Zhaojun.Stock investment analysis[M].Shanghai:Shanghai People’s Publishing House,2002.
[2]薛巧英,刘建明.水污染综合指数评价方法与应用分析[J].环境工程,2004,22(1):64-66.XUE Qiaoying,LIU Jianming.Comprehensive index evaluation method and application analysis of water pollution[J].Environmental Engineering,2004,22(1):64-66.
[3]王帅,潘本锋,张建辉,等.环境空气质量综合指数计算方法比选研究[J].中国环境监测,2014,30(6):46-52.WANG Shuai,PAN Benfeng,ZHANG Jianhui,et al.Comparative study on calculation methods of comprehensive environmental air quality index[J].Environmental Monitoring of China,2014,30(6):46-52.
[4]余中福.基于道琼斯指数的我国企业社会责任投资研究[J].商业会计,2015(9):17-19.YU Zhongfu.Research on China’s CSR investment based on Dow Jones index[J].Business Accounting,2015(9):17-19.
[5]雷兴长,张蕾蕾.道琼斯工业指数增长与美国工业经济发展的不同阶段内在关系分析[J].社科纵横,2015,30(7):54-59.LEI Xingchang,ZHANG Leilei.Analysis on the internal relationship between the growth of Dow Jones industrial index and the development of American industrial economy at different stages[J].Social Sciences Review,2015,30(7):54-59.
[6]姜腾飞,李山梅.道琼斯可持续发展指数及其对我国的借鉴作用[J].商业时代,2010(13):55-56.JIANG Tengfei,LI Shanmei.Dow Jones sustainable development index and its reference to China[J].Commercial Times,2010(13):55-56.
[7]金骏.道琼斯瑞银商品指数研究及对我国的启示[J].浙江金融,2012(7):66-69.JIN Jun.Research on Dow Jones commodity index and its implications for China[J].Zhejiang Finance,2012(7):66-69.
[8]程琬芸,林杰.社交媒体的投资者涨跌情绪与证券市场指数[J].管理科学,2013,26(5):111-119.CHENG Wanyun,LIN Jie.Social media investor sentiment and stock market index[J].Journal of Management Science,2013,26(5):111-119.
[9]陈守东,韩广哲,荆伟.主要股票市场指数与我国股票市场指数间的协整分析[J].数量经济技术经济研究,2003(5):124-129.CHEN Shoudong,HAN Guangzhe,JING Wei.Co-integration analysis between the main stock market index and China’s stock market index[J].The Journal of Quantitative&Technical Economics,2003(5):124-129.
[10]韩广哲.国际主要股票市场指数以及GDP的比较研究[D].长春:吉林大学,2004.HAN Guangzhe.Comparative study on main international stock market’s indices and GDP[D].Changchun:Jilin University,2004.
[11]谢凯,曾会华.随机游走和市场有效性检验---上海和深圳股票交易所综合指数分析[J].市场周刊(理论研究),2010(3):56-57.XIE Kai,ZENG Huihua.Random walk and market validity test-comprehensive index analysis of Shanghai and Shenzhen stock exchanges[J].Market Weekly(Theoretical Research),2010(3):56-57.
[12]陈兵,栾绍东,杨震.美国国债市场和中国股票市场的相关性研究---以美国十年期国债和上证综合指数为例[J].北方经贸,2013(1):84-86.CHEN Bing,LUAN Shaodong,YANG Zhen.A study on the correlation between the US treasury bond market and the Chinese stock market-a case study of the US 10-year treasury bond and Shanghai composite index[J].Northern Economy and Trade,2013(1):84-86.
[13]市场指数分析[J].中国市场,2008(17):76-77.Market index analysis[J].China Market,2008(17):76-77.
[14]苏琳.中国将构建完整市场指数体系[N].人民日报(海外版).2010-11-08(5).SU Lin.China will build a complete market index system[N].People’s Daily(Overseas Edition).2010-11-08(5).
[15]陈辰,范龙振,叶锋.指数证券组合模拟市场指数的聚类和MTV方法[J].管理工程学报,2001,15(4):23-27.CHEN Chen,FAN Longzhen,YE Feng.Clustering and MTVmethods of index portfolio simulation market index[J].Journal of Industrial Engineering and Engineering Management,2001,15(4):23-27.
[16]杨恩.我国证券市场节日效应与节日风险研究---基于上证综合指数的分析[J].哈尔滨商业大学学报(社会科学版),2010(5):9-14.YANG En.Research on festival effect and festival risk in China’s securities market-analysis based on Shanghai composite index[J].Journal of Harbin University of Commerce(Social Science Edition),2010(5):9-14.
[17]宿成建.中国证券多因素及三因素定价模型实证研究[J].系统工程理论与实践,2006(8):17-26.SU Chengjian.An empirical study on multi-factor and threefactor pricing models of Chinese securities[J].Systems Engineering-Theory&Practice,2006(8):17-26.
[18]黄超,龚惠群,仲伟俊.基于多重分形聚类的证券市场指数波动性比较研究[J].管理科学,2010,23(3):88-95.HUANG Chao,GONG Huiqun,ZHONG Weijun.Comparative study on volatility of stock market index based on multi-fractal clustering[J].Management Science,2010,23(3):88-95.
[19]邵新建,巫和懋,覃家琦,等.中国IPO市场周期:基于投资者情绪与政府择时发行的分析[J].金融研究,2010(11):123-143.SHAO Xinjian,WU Hemao,QIN Jiaqi,et al.China IPOmarket cycle:analysis based on investor sentiment and government timing[J].Journal of Financial Research,2010(11):123-143.
[20]孙求华.通货膨胀与股票市场走势研究---基于中国CPI和上证综合指数、深证综合指数的协整检验与格兰杰检验[J].知识经济,2012(12):82-84.SUN Qiuhua.Research on inflation and stock market trendsco-integration test and Granger test based on China CPI,Shanghai composite index and Shenzhen composite index[J].Knowledge Economy,2012(12):82-84.
[21]李涛,王盛煜.基于灰色关联度和模糊综合评价法的我国电力市场交易评价体系研究[J].工业技术经济,2018,37(9):130-137.LI Tao,WANG Chengyu.Study on transaction evaluation system of China’s electric power market based on grey correlation degree and fuzzy comprehensive evaluation method[J].Industrial Technical Economy,2018,37(9):130-137.
[22]杨争林,曹帅,郑亚先,等.电力市场全景实验平台设计[J].电力系统自动化,2016,40(10):97-102.YANG Zhenglin,CAO Shuai,ZHENG Yaxian,et al.Design of integrated experimental platform for electricity market[J].Automation of Electric Power Systems,2016,40(10):97-102.
[23]曾嘉志,赵雄飞,李静,等.用电侧市场放开下的电力市场多主体博弈[J].电力系统自动化,2017,41(24):129-136.DOI:10.7500/AEPS20170616005.ZENG Jiazhi,ZHAO Xiongfei,LI Jing,et al.Multi-agent game of power market under the opening of power side market[J].Automation of Electric Power Systems,2017,41(24):129-136.DOI:10.7500/AEPS20170616005.
[24]郑亚先,程海花,杨争林,等.计及清洁能源的跨区跨省交易路径优化建模与算法[J].电力系统自动化,2017,41(24):112-119.DOI:10.7500/AEPS20170615010.ZHENG Yaxian,CHENG Haihua,YANG Zhenglin,et al.Optimization modeling and algorithm of trans-regional and trans-provincial transaction paths of clean energy[J].Automation of Electric Power Systems,2017,41(24):112-119.DOI:10.7500/AEPS20170615010.
[25]荆朝霞,朱继松.月度电量集中竞价市场规则的仿真实验分析[J].电力系统自动化,2017,41(24):42-48.DOI:10.7500/AEPS20170615022.JING Zhaoxia,ZHU Jisong.Simulation experiment analysis of monthly power centralized bidding market rules[J].Automation of Electric Power Systems,2017,41(24):42-48.DOI:10.7500/AEPS20170615022.
[26]梁志飞,陈玮,张志翔,等.南方区域电力现货市场建设模式及路径探讨[J].电力系统自动化,2017,41(24):16-21.DOI:10.7500/AEPS20170614015.LIANG Zhifei,CHEN Wei,ZHANG Zhixiang,et al.Discussion on the construction mode and path of power spot market in southern region[J].Automation of Electric Power Systems,2017,41(24):16-21.DOI:10.7500/AEPS20170614015.
[27]罗孝玲.证券投资学[M].北京:经济科学出版社,2003.LUO Xiaoling.Securities investment[M].Beijing:The Publishing House of Economic Science,2003.
[28]SCHOTTER A.Microeconomics[M].Boston,USA:Addison Wesley Longman Inc,2001.
[2]薛巧英,刘建明.水污染综合指数评价方法与应用分析[J].环境工程,2004,22(1):64-66.XUE Qiaoying,LIU Jianming.Comprehensive index evaluation method and application analysis of water pollution[J].Environmental Engineering,2004,22(1):64-66.
[3]王帅,潘本锋,张建辉,等.环境空气质量综合指数计算方法比选研究[J].中国环境监测,2014,30(6):46-52.WANG Shuai,PAN Benfeng,ZHANG Jianhui,et al.Comparative study on calculation methods of comprehensive environmental air quality index[J].Environmental Monitoring of China,2014,30(6):46-52.
[4]余中福.基于道琼斯指数的我国企业社会责任投资研究[J].商业会计,2015(9):17-19.YU Zhongfu.Research on China’s CSR investment based on Dow Jones index[J].Business Accounting,2015(9):17-19.
[5]雷兴长,张蕾蕾.道琼斯工业指数增长与美国工业经济发展的不同阶段内在关系分析[J].社科纵横,2015,30(7):54-59.LEI Xingchang,ZHANG Leilei.Analysis on the internal relationship between the growth of Dow Jones industrial index and the development of American industrial economy at different stages[J].Social Sciences Review,2015,30(7):54-59.
[6]姜腾飞,李山梅.道琼斯可持续发展指数及其对我国的借鉴作用[J].商业时代,2010(13):55-56.JIANG Tengfei,LI Shanmei.Dow Jones sustainable development index and its reference to China[J].Commercial Times,2010(13):55-56.
[7]金骏.道琼斯瑞银商品指数研究及对我国的启示[J].浙江金融,2012(7):66-69.JIN Jun.Research on Dow Jones commodity index and its implications for China[J].Zhejiang Finance,2012(7):66-69.
[8]程琬芸,林杰.社交媒体的投资者涨跌情绪与证券市场指数[J].管理科学,2013,26(5):111-119.CHENG Wanyun,LIN Jie.Social media investor sentiment and stock market index[J].Journal of Management Science,2013,26(5):111-119.
[9]陈守东,韩广哲,荆伟.主要股票市场指数与我国股票市场指数间的协整分析[J].数量经济技术经济研究,2003(5):124-129.CHEN Shoudong,HAN Guangzhe,JING Wei.Co-integration analysis between the main stock market index and China’s stock market index[J].The Journal of Quantitative&Technical Economics,2003(5):124-129.
[10]韩广哲.国际主要股票市场指数以及GDP的比较研究[D].长春:吉林大学,2004.HAN Guangzhe.Comparative study on main international stock market’s indices and GDP[D].Changchun:Jilin University,2004.
[11]谢凯,曾会华.随机游走和市场有效性检验---上海和深圳股票交易所综合指数分析[J].市场周刊(理论研究),2010(3):56-57.XIE Kai,ZENG Huihua.Random walk and market validity test-comprehensive index analysis of Shanghai and Shenzhen stock exchanges[J].Market Weekly(Theoretical Research),2010(3):56-57.
[12]陈兵,栾绍东,杨震.美国国债市场和中国股票市场的相关性研究---以美国十年期国债和上证综合指数为例[J].北方经贸,2013(1):84-86.CHEN Bing,LUAN Shaodong,YANG Zhen.A study on the correlation between the US treasury bond market and the Chinese stock market-a case study of the US 10-year treasury bond and Shanghai composite index[J].Northern Economy and Trade,2013(1):84-86.
[13]市场指数分析[J].中国市场,2008(17):76-77.Market index analysis[J].China Market,2008(17):76-77.
[14]苏琳.中国将构建完整市场指数体系[N].人民日报(海外版).2010-11-08(5).SU Lin.China will build a complete market index system[N].People’s Daily(Overseas Edition).2010-11-08(5).
[15]陈辰,范龙振,叶锋.指数证券组合模拟市场指数的聚类和MTV方法[J].管理工程学报,2001,15(4):23-27.CHEN Chen,FAN Longzhen,YE Feng.Clustering and MTVmethods of index portfolio simulation market index[J].Journal of Industrial Engineering and Engineering Management,2001,15(4):23-27.
[16]杨恩.我国证券市场节日效应与节日风险研究---基于上证综合指数的分析[J].哈尔滨商业大学学报(社会科学版),2010(5):9-14.YANG En.Research on festival effect and festival risk in China’s securities market-analysis based on Shanghai composite index[J].Journal of Harbin University of Commerce(Social Science Edition),2010(5):9-14.
[17]宿成建.中国证券多因素及三因素定价模型实证研究[J].系统工程理论与实践,2006(8):17-26.SU Chengjian.An empirical study on multi-factor and threefactor pricing models of Chinese securities[J].Systems Engineering-Theory&Practice,2006(8):17-26.
[18]黄超,龚惠群,仲伟俊.基于多重分形聚类的证券市场指数波动性比较研究[J].管理科学,2010,23(3):88-95.HUANG Chao,GONG Huiqun,ZHONG Weijun.Comparative study on volatility of stock market index based on multi-fractal clustering[J].Management Science,2010,23(3):88-95.
[19]邵新建,巫和懋,覃家琦,等.中国IPO市场周期:基于投资者情绪与政府择时发行的分析[J].金融研究,2010(11):123-143.SHAO Xinjian,WU Hemao,QIN Jiaqi,et al.China IPOmarket cycle:analysis based on investor sentiment and government timing[J].Journal of Financial Research,2010(11):123-143.
[20]孙求华.通货膨胀与股票市场走势研究---基于中国CPI和上证综合指数、深证综合指数的协整检验与格兰杰检验[J].知识经济,2012(12):82-84.SUN Qiuhua.Research on inflation and stock market trendsco-integration test and Granger test based on China CPI,Shanghai composite index and Shenzhen composite index[J].Knowledge Economy,2012(12):82-84.
[21]李涛,王盛煜.基于灰色关联度和模糊综合评价法的我国电力市场交易评价体系研究[J].工业技术经济,2018,37(9):130-137.LI Tao,WANG Chengyu.Study on transaction evaluation system of China’s electric power market based on grey correlation degree and fuzzy comprehensive evaluation method[J].Industrial Technical Economy,2018,37(9):130-137.
[22]杨争林,曹帅,郑亚先,等.电力市场全景实验平台设计[J].电力系统自动化,2016,40(10):97-102.YANG Zhenglin,CAO Shuai,ZHENG Yaxian,et al.Design of integrated experimental platform for electricity market[J].Automation of Electric Power Systems,2016,40(10):97-102.
[23]曾嘉志,赵雄飞,李静,等.用电侧市场放开下的电力市场多主体博弈[J].电力系统自动化,2017,41(24):129-136.DOI:10.7500/AEPS20170616005.ZENG Jiazhi,ZHAO Xiongfei,LI Jing,et al.Multi-agent game of power market under the opening of power side market[J].Automation of Electric Power Systems,2017,41(24):129-136.DOI:10.7500/AEPS20170616005.
[24]郑亚先,程海花,杨争林,等.计及清洁能源的跨区跨省交易路径优化建模与算法[J].电力系统自动化,2017,41(24):112-119.DOI:10.7500/AEPS20170615010.ZHENG Yaxian,CHENG Haihua,YANG Zhenglin,et al.Optimization modeling and algorithm of trans-regional and trans-provincial transaction paths of clean energy[J].Automation of Electric Power Systems,2017,41(24):112-119.DOI:10.7500/AEPS20170615010.
[25]荆朝霞,朱继松.月度电量集中竞价市场规则的仿真实验分析[J].电力系统自动化,2017,41(24):42-48.DOI:10.7500/AEPS20170615022.JING Zhaoxia,ZHU Jisong.Simulation experiment analysis of monthly power centralized bidding market rules[J].Automation of Electric Power Systems,2017,41(24):42-48.DOI:10.7500/AEPS20170615022.
[26]梁志飞,陈玮,张志翔,等.南方区域电力现货市场建设模式及路径探讨[J].电力系统自动化,2017,41(24):16-21.DOI:10.7500/AEPS20170614015.LIANG Zhifei,CHEN Wei,ZHANG Zhixiang,et al.Discussion on the construction mode and path of power spot market in southern region[J].Automation of Electric Power Systems,2017,41(24):16-21.DOI:10.7500/AEPS20170614015.
[27]罗孝玲.证券投资学[M].北京:经济科学出版社,2003.LUO Xiaoling.Securities investment[M].Beijing:The Publishing House of Economic Science,2003.
[28]SCHOTTER A.Microeconomics[M].Boston,USA:Addison Wesley Longman Inc,2001.