摘要
期货交易存在保证金和强行平仓制度,全市场背景下电力期货交易制度的特殊性在一定程度上影响着发电企业收益。考虑负荷变化,利用电力期货交易规避电价波动造成的发电侧盈亏风险,构建了一种发电企业全市场收益优化模型。首先,搭建含现货、远期合同和期货合约的电力市场交易架构;其次,以发电企业售电收益最大为目标,逐级搭建含现货、远期合同和期货合约的发电企业收益模型,并给出相应求解算法;最后,采用6个发电企业构成的无阻塞电力市场进行仿真模拟,对收益模型的合理性与有效性进行了验证。结果表明:负荷侧波动导致电价明显波动,电力期货的引入能提高电价稳定性,提高发电企业利润,将发电企业利润损失风险转移到期货市场中,并且边际成本越大的发电企业利润提高越明显;在一定的期货与现货电量配比范围内,配比越大,发电企业利润提高越多,但超过范围后,期货保证金利息亏损变多,发电企业利润反而减少。
Margin and forced liquidation systems in futures trading affect the income of power generation companies to a certain extent in the market context.Considering the changes in load,this study uses electricity futures trading to avoid the profit and loss risk of power generation caused by electricity price fluctuations and constructs a market-wide revenue optimization model for power generation companies.First,we construct a trading structure for the electricity market that includes spot,forward,and futures contracts.Second,with the goal of maximizing revenue from electricity sales of power generation companies,the income model of power generation companies,including spot,forward,and futures contracts,is built step-by-step,and the corresponding solution algorithm is given.Finally,a non-blocking power market comprising six power generation companies is used for the simulation,and the rationality and effectiveness of the revenue model are verified.The results show that load fluctuations lead to obvious fluctuations in electricity prices,and the introduction of electricity futures can improve the stability of electricity prices and the profits of power generation companies and transfer the risk of profit loss of power generation companies to the futures market.The increase in the profits of power generation companies with greater marginal costs is more obvious.Within a certain range of futures and spot electricity ratios,the larger the ratio,the greater the profits of the power generation company;however,after exceeding the range,the loss of futures margin interest increases,which causes the profits of power generation companies to decrease.
作者
陶冶
魏震波
兰森林
史爽
苏鹏欢
TAO Ye;WEI Zhenbo;LAN Senlin;SHI Shuang;SU Penghuan(College of Electrical Engineering,Sichuan University,Chengdu 610065,China;Tianfu New Area Power Supply Company,State Grid Sichuan Electric Power Company,Chengdu 610065,China)
出处
《电力建设》
CSCD
北大核心
2024年第5期141-149,共9页
Electric Power Construction
基金
国家自然科学基金项目(52077146)。
关键词
电力期货
发电企业
全市场收益模型
电力市场
电价稳定
electricity futures
power generation company
market-wide revenue model
electricity market
stable electricity prices
