考虑需求不确定性的电力市场参与者套期保值策略研究

需求的不确定性和电力价格的易变率在电力市场环境中均要高于传统体制，这就使发电商和配电商等市场参与者面临着巨大的市场风险，远期合约等衍生产品由于其灵活性而成为市场参与者回避风险的有效工具。该文对由现货和远期合约两个交易市场组成的两阶段电力批发市场中的市场参与者行为进行了研究，讨论了发电商等市场参与者在现货和远期合约两个市场中交易量的分配问题，推导出了市场均衡状态下发电商和配电商在现货和远期合约两个市场中交易量分配的解析解以及均衡时的远期价格，对市场参与者的套期保值策略进行了讨论，并通过算例说明了总需求的均值、标准差、偏度以及风险回避系数的变化对市场参与者套期保值的影响。

STUDY ON HEDGING STRATEGY OF PARTICIPATORS OF ELECTRICITY MARKETS CONSIDERING UNCERTAINTY LOAD

Because of uncertainty load and high vitality of electricity spot price, the participators such as generators and distributors will face great risks under the environment of electricity markets than regulated case. The forward contracts and other derivatives have flexible characters and the participators select them as the effective instruments to avoid the risks. The behaviors of participators in the two stages wholesale electricity market including spot and forward markets are studied, and the distribution of trade quantity between two markets is discussed, the analytic distribution quantities of generators and distributors and forward price are derived under the equilibrium of spot market and contracts market, and hedging strategy of participators are also be discussed. The effective of the varying mean, standard deviation, skewness and risk averse factor are also be studied through examples.