PJM电力市场交易价格分布特征及波动风险度量

Electricity Prices Distribution Characteristics and Volatility Risk Measurement in the PJM Power Market

根据PJM电力市场披露的逐时电力交易价格信息,采用假设检验方法,对日前市场、实时市场及辅助服务市场部分交易品种的电价分布特征进行了统计建模,并针对电价分布的尖峰厚尾特性,结合VaR、CVaR尾部风险度量指标,对各市场中的电价波动风险进行精确度量。研究结果表明:PJM电力市场负荷与日前市场电价、实时市场电价具有强相关性,日前市场及实时市场电价服从对数正态分布,辅助服务价格差异较大,分布拖尾特征显著;在给定置信水平下,负荷、日前市场电价和实时市场电价波动风险逐渐增大,但显著小于辅助服务价格波动风险。

According to the hourly electricity price information disclosed in the PJM power market,a hypothesis test method is used to statistically model the electricity price distribution characteristics of some trading varieties in the dayahead market,real-time market,and auxiliary service market.With consideration of the peak and thick tail characteristics of electricity price distribution combined with VaR,CVaR tail risk measurement indicators,the risk of electricity price fluctuations in each market is measured accurately measure. The result of the research suggests that the load in the PJM power market has a strong correlation with the day-ahead market electricity price and the real-time market electricity price. The electricity prices of the day-ahead market and the real-time marketfollow a logarithmic normal distribution,while the price of ancillary services differs greatly with significant distribution tailing characteristics. At the given confidence level,the risk of fluctuations in load,dayahead market electricity prices,and real-time market electricity prices gradually increases,but is significantly less than the risk of ancillary service price fluctuations.