摘要
电价的分布特性是电力市场风险管理和电力金融产品定价的重要依据。在对电力市场现货电价的变动规律综合分析的基础上,使用时变方差、时变偏度和正弦函数来刻画电价序列的二阶矩、三阶矩和多重周期性,建立了一个基于正态分布概率密度函数的Gram-Charlier展开的多周期GARCH-M模型,可同时计及电价序列的趋势变化、多重周期、二阶矩、三阶矩及其与负荷之间的相关性。对PJM电力市场历史数据的分析表明:时变方差和系统负荷平方对电价均值具有显著影响。
The distribution properties of electricity prices are the important information for the risk management of electricity markets and the pricing of electricity financial derivatives. With the comprehensive consideration of the changing rules of the electricity spot price, a multicycle GARCH-M model based on Gram-Charlier series expansion of the normal density function is proposed, in which the second moment, third moment and muhicycle of electricity price series are described by time-varying variance, time-varying skewness and sine function. The changing trend, volatility of second and third moments, multicycle and the relationship among load and spot price can be fully taken into account. The numerical example based on the historical data of the PJM market shows that time-varying variance and the system load square have a significant effect on the mean electricity prices.
出处
《华东电力》
北大核心
2011年第11期1853-1857,共5页
East China Electric Power
基金
国家自然科学基金项目(70871074)
河南省教育厅自然科学研究计划项目(2010B120002)~~
