我国引入电力期货的可行性研究及期货合约设计
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摘要
随着电力市场的快速发展和风险管理的需要,电力市场迫切需要引入一种新的工具来管理风险,从而减小电价的波动,进而降低了电价风险。期货正是这样一种管理风险的工具。国外已有不少成功引入电力期货的先例,而且我国也有了建立电力期货市场的平台。所以,我国引入电力期货非常必要,同时也是可行的。
本文使用CVaR法对从某电力市场引入电力期货前后电力公司毛利润对比分析验证了我国引入电力期货的可行性。在此基础上通过总结分析国外电力期货合约,从分析期货市场的投资主体入手,设计出适合我国国情发展、降低电价波动带来的市场风险、同时能吸引众多市场参与者的电力期货合约。
With the rapid development of electricity market and the needs of risk management, it is very necessary to introduce a new tool for the electricity market. In this case, risk is managed, and the fluctuations of electricity price are decreased by use of the new tool. Futures are such tools and electricity futures have been applied to many countries successfully and China’s electricity market has been set up a stadium-like building for electricity futures. It’s necessary and feasible to introduce electricity futures to China.
After analyzing feasibility of China’s electricity futures by CVaR, the thesis designs electricity futures contract which should suits China’s condition, cuts down the market risk of the electricity price’s fluctuation, and attracts the partners by summarizing and analyzing the foreign electricity futures contracts and China’s futures market.
本文使用CVaR法对从某电力市场引入电力期货前后电力公司毛利润对比分析验证了我国引入电力期货的可行性。在此基础上通过总结分析国外电力期货合约,从分析期货市场的投资主体入手,设计出适合我国国情发展、降低电价波动带来的市场风险、同时能吸引众多市场参与者的电力期货合约。
With the rapid development of electricity market and the needs of risk management, it is very necessary to introduce a new tool for the electricity market. In this case, risk is managed, and the fluctuations of electricity price are decreased by use of the new tool. Futures are such tools and electricity futures have been applied to many countries successfully and China’s electricity market has been set up a stadium-like building for electricity futures. It’s necessary and feasible to introduce electricity futures to China.
After analyzing feasibility of China’s electricity futures by CVaR, the thesis designs electricity futures contract which should suits China’s condition, cuts down the market risk of the electricity price’s fluctuation, and attracts the partners by summarizing and analyzing the foreign electricity futures contracts and China’s futures market.
引文
[1]王锡凡,王秀丽,陈皓勇.电力市场基础.西安:西安交通大学出版社,2003
[2]尚金成,黄永皓,夏清等(Shang Jincheng,Huang Yonghao,Xia Qing,et al)著.电力市场理论研究与应用(Research on Electricity Market Theory and Its Applications).北京:中国电力出版社(Beijing:China Electric Power Press),2002
[3]Black, D. Success and Failure of Futures Contracts: Theory and Evidence. NYU Business School Monograph Series in Finance and Economics, 1986
[4]Gray, R.W., Why does futures trading succeed or fail? An analysis of selected Commodities, In Proceedings of the Futures Trading Seminar 3, 1978,115～137
[5]Working, H., Tests of a theory concerning floor trading on commodity exchanges. Food Research Institute Studies, 1970, 7,5～48
[6]Allen F., and D. Gate, Optimal security design, Review of Financial Studies,1988,1(3),229～263
[7]Allen F., and D. Gate, Arbitrage, short sales and financial innovation, Econometrica,1991,59(4),1041～1068
[8]Allen F., and D. Gate, Financial innovation and risk sharing, MIT Press, Cambridge, MA,1994
[9]Duffie, D. and Jackson, M.O., Optimal innovation of futures contracts. Review of Financial Studies, 1989,2,275～296
[10]Cuny, C.J., The role of liquidity in futures market innovations. Review of Financial Studies, 1993,6,57～78
[11]Pennings, J.M.E. and R.M.Leuthold, Commodity futures contract viability: a multidisciplinary approach, OFOR Paper,1999,No. 99-02
[12]Duffie, D. and Raahi, R., Financial market innovation and security design: an introduction, Journal of Economic Theory, 1995,65,1～42
[13]Hartzmark, M.L., Returns to individual traders of futures: Aggregate result, Journal of Political Economy,1987,95,1292～1306
[14]Peck,A.E., and Nahmias, A.M., Hedging your advice: do portfolio model explain hedging? Food Research Institute Studies,1989,21,193～204
[15]Sandor, R., Innovation by an Exchange: A Case Study of the Development of the Plywood Futures Contract, Journal of Law and Economics,1973,16,119～136
[16]Silber,W., Innovation, competition, and new contract design in futures markets. Journal of Futures Markets, 1981,1(2),123～155
[17]Johnston, E., J. McConnell, Requiem for a market: an analysis of the rise and fall of a financial futures contract, Review of Financial Studies, 1987,2,1～23
[18]Pennings, J.M.E. Leuthold, Commodity futures contract viability: a multidisciplinary approach, OFOR Paper, 1999,No. 99-02
[19]于尔铿,韩放,谢开等著.电力市场.北京:中国电力出版社,1998.4
[20]曾鸣,孙听,张启平.电力市场交易与电价理论及其应用.北京:中国电力出版社
[21]张少华,李渝曾.电力市场中的远期合同交易.电力系统自动化,2001,25(10)
[22]胡江溢,黄家裕.电力市场中的期货交易.电网技术,1997,6:61～64
[23]林辉,何建敏.VaR在投资组合应用中存在的缺陷与CVaR模型.财贸经济,2003,(12)
[24]黄向阳,陈学华,杨辉耀.基于条件风险价值的投资组合优化模型.西南交通大学学报,2004,(04)
[25]刘嘉佳,刘俊勇.CVaR风险度量模型在单期发电权交易中的应用.四川大学学报(工程科学版),2007,(01)
[26]谢俊,陈星莺.构造供电公司最优电能分配策略的CVaR方法.现代电力,2007,(02)
[27]朱晋.市场因素影响商品期货价格的多元模型分析.数量经济技术经济研究,2004,(01)
[28]徐达明.电力期货市场的风险与防范机制.华东电力,2003,(09)
[29]郑旭安.新型的电力市场交易模式——基于期货的电力市场交易.中国科技信息,2005,(12)
[30]任晖.中国股票指数期货的合约设计.北京航空航天大学学报(社会科学版),2003年04期2003年12月,53～56
[31]黄腾飞,熊季霞.中国期货市场初级阶段的博弈研究.济南金融,2004,(08)
[32]聂挺.电力期货的应用.科技广场,2005,(03)
[32]曹毅刚,沈如刚.国外电力衍生产品交易.国际电力.2005,2:4～7
[33]马歆,蒋传文,侯志俭,潘力强.电力金融合约市场及其风险控制研究.华东电力.2002,9:8～10
[34]张舒,王承民,何伟,侯志俭.电力市场中期货与现货电量交易比例的研究.华东电力.2004,32(4):11～13
[35]张少华,李渝曾,言茂松.考虑用户需求不确定性的电力期货合同模型.控制与决策.1999,14:536～540
[36]张少华,言茂松,刘秀玉.用户与电力公司之间电力期货合同的风险建模.上海大学学报(自然科学版).1999,5(3):207～212
[37]史连军,韩放.中国电力市场的现状与展望.电力系统自动化.2000,24(3):1～4
[38]沈瑜,夏清,康重庆.中国电力市场模式的探讨.电力系统自动化,2000,24(4):6～9
[39]王锡凡.有关当前我国电力市场若干问题讨论.中国电力.2001,34(10):66～69
[40]江健健,夏清,祁达才等.基于期货的新型电力交易模式.中国电机工程学报,2003,23(4):31～37
[41]赖菲,于尔铿,韩祯祥.电力市场交易算法研究与实现.电力系统自动化,2002,26(22):16～21
[42]高丽玲.发电商电力期货与现货的协调优化及设计开发:[硕士论文].北京:华北电力大学.2004,7
[43]张显,王锡凡.电力金融市场综述.电力系统自动化.2005,29(20):1～9
[2]尚金成,黄永皓,夏清等(Shang Jincheng,Huang Yonghao,Xia Qing,et al)著.电力市场理论研究与应用(Research on Electricity Market Theory and Its Applications).北京:中国电力出版社(Beijing:China Electric Power Press),2002
[3]Black, D. Success and Failure of Futures Contracts: Theory and Evidence. NYU Business School Monograph Series in Finance and Economics, 1986
[4]Gray, R.W., Why does futures trading succeed or fail? An analysis of selected Commodities, In Proceedings of the Futures Trading Seminar 3, 1978,115～137
[5]Working, H., Tests of a theory concerning floor trading on commodity exchanges. Food Research Institute Studies, 1970, 7,5～48
[6]Allen F., and D. Gate, Optimal security design, Review of Financial Studies,1988,1(3),229～263
[7]Allen F., and D. Gate, Arbitrage, short sales and financial innovation, Econometrica,1991,59(4),1041～1068
[8]Allen F., and D. Gate, Financial innovation and risk sharing, MIT Press, Cambridge, MA,1994
[9]Duffie, D. and Jackson, M.O., Optimal innovation of futures contracts. Review of Financial Studies, 1989,2,275～296
[10]Cuny, C.J., The role of liquidity in futures market innovations. Review of Financial Studies, 1993,6,57～78
[11]Pennings, J.M.E. and R.M.Leuthold, Commodity futures contract viability: a multidisciplinary approach, OFOR Paper,1999,No. 99-02
[12]Duffie, D. and Raahi, R., Financial market innovation and security design: an introduction, Journal of Economic Theory, 1995,65,1～42
[13]Hartzmark, M.L., Returns to individual traders of futures: Aggregate result, Journal of Political Economy,1987,95,1292～1306
[14]Peck,A.E., and Nahmias, A.M., Hedging your advice: do portfolio model explain hedging? Food Research Institute Studies,1989,21,193～204
[15]Sandor, R., Innovation by an Exchange: A Case Study of the Development of the Plywood Futures Contract, Journal of Law and Economics,1973,16,119～136
[16]Silber,W., Innovation, competition, and new contract design in futures markets. Journal of Futures Markets, 1981,1(2),123～155
[17]Johnston, E., J. McConnell, Requiem for a market: an analysis of the rise and fall of a financial futures contract, Review of Financial Studies, 1987,2,1～23
[18]Pennings, J.M.E. Leuthold, Commodity futures contract viability: a multidisciplinary approach, OFOR Paper, 1999,No. 99-02
[19]于尔铿,韩放,谢开等著.电力市场.北京:中国电力出版社,1998.4
[20]曾鸣,孙听,张启平.电力市场交易与电价理论及其应用.北京:中国电力出版社
[21]张少华,李渝曾.电力市场中的远期合同交易.电力系统自动化,2001,25(10)
[22]胡江溢,黄家裕.电力市场中的期货交易.电网技术,1997,6:61～64
[23]林辉,何建敏.VaR在投资组合应用中存在的缺陷与CVaR模型.财贸经济,2003,(12)
[24]黄向阳,陈学华,杨辉耀.基于条件风险价值的投资组合优化模型.西南交通大学学报,2004,(04)
[25]刘嘉佳,刘俊勇.CVaR风险度量模型在单期发电权交易中的应用.四川大学学报(工程科学版),2007,(01)
[26]谢俊,陈星莺.构造供电公司最优电能分配策略的CVaR方法.现代电力,2007,(02)
[27]朱晋.市场因素影响商品期货价格的多元模型分析.数量经济技术经济研究,2004,(01)
[28]徐达明.电力期货市场的风险与防范机制.华东电力,2003,(09)
[29]郑旭安.新型的电力市场交易模式——基于期货的电力市场交易.中国科技信息,2005,(12)
[30]任晖.中国股票指数期货的合约设计.北京航空航天大学学报(社会科学版),2003年04期2003年12月,53～56
[31]黄腾飞,熊季霞.中国期货市场初级阶段的博弈研究.济南金融,2004,(08)
[32]聂挺.电力期货的应用.科技广场,2005,(03)
[32]曹毅刚,沈如刚.国外电力衍生产品交易.国际电力.2005,2:4～7
[33]马歆,蒋传文,侯志俭,潘力强.电力金融合约市场及其风险控制研究.华东电力.2002,9:8～10
[34]张舒,王承民,何伟,侯志俭.电力市场中期货与现货电量交易比例的研究.华东电力.2004,32(4):11～13
[35]张少华,李渝曾,言茂松.考虑用户需求不确定性的电力期货合同模型.控制与决策.1999,14:536～540
[36]张少华,言茂松,刘秀玉.用户与电力公司之间电力期货合同的风险建模.上海大学学报(自然科学版).1999,5(3):207～212
[37]史连军,韩放.中国电力市场的现状与展望.电力系统自动化.2000,24(3):1～4
[38]沈瑜,夏清,康重庆.中国电力市场模式的探讨.电力系统自动化,2000,24(4):6～9
[39]王锡凡.有关当前我国电力市场若干问题讨论.中国电力.2001,34(10):66～69
[40]江健健,夏清,祁达才等.基于期货的新型电力交易模式.中国电机工程学报,2003,23(4):31～37
[41]赖菲,于尔铿,韩祯祥.电力市场交易算法研究与实现.电力系统自动化,2002,26(22):16～21
[42]高丽玲.发电商电力期货与现货的协调优化及设计开发:[硕士论文].北京:华北电力大学.2004,7
[43]张显,王锡凡.电力金融市场综述.电力系统自动化.2005,29(20):1～9