Construction of Mixed Derivatives Strategy for Wind Power Producers
Construction of Mixed Derivatives Strategy for Wind Power Producers
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DOI：
10.3390/en16093809
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发表时间：
2023-04
期刊：
影响因子：
3.2
通讯作者：
Yuji Yamada;Takuji Matsumoto
中科院分区：
文献类型：
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作者：
Yuji Yamada;Takuji Matsumoto
由于风电条件固有的不确定性以及竞争激烈的电力市场价格的不可预测性，风电企业面临着价格和容量同时波动的风险。因此，在电力市场交易风电输出时，制定有效稳定其收入或现金流的策略势在必行。在此背景下，我们提出了一种新的尝试，构建多元衍生品，以减轻与电力市场交易风力发电相关的波动现金流的风险。我们的方法包括利用非参数技术来确定最佳收益结构或计算精细衍生品的位置，利用多种基础指数，包括现货电价、全区域风力发电指数和当地风力条件。这些衍生品被称为混合衍生品，在套期保值有效性和合约效率方面具有优势。值得注意的是，我们开发了一种方法，通过建模风速和风向的多元函数来增强对冲效应，通过张量积样条函数结合风向的周期性约束。通过对日本数据的实证分析，我们从多个角度阐明了构建混合衍生品对对冲有效性的提高程度。此外，我们比较了高颗粒（每小时）和低颗粒（每天）配方之间的对冲性能，揭示了利用高颗粒对冲方法的优势。
Due to the inherent uncertainty of wind conditions as well as the price unpredictability in the competitive electricity market, wind power producers are exposed to the risk of concurrent fluctuations in both price and volume. Therefore, it is imperative to develop strategies to effectively stabilize their revenues, or cash flows, when trading wind power output in the electricity market. In light of this context, we present a novel endeavor to construct multivariate derivatives for mitigating the risk of fluctuating cash flows that are associated with trading wind power generation in electricity markets. Our approach involves leveraging nonparametric techniques to identify optimal payoff structures or compute the positions of derivatives with fine granularity, utilizing multiple underlying indexes including spot electricity price, area-wide wind power production index, and local wind conditions. These derivatives, referred to as mixed derivatives, offer advantages in terms of hedge effectiveness and contracting efficiency. Notably, we develop a methodology to enhance the hedge effects by modeling multivariate functions of wind speed and wind direction, incorporating periodicity constraints on wind direction via tensor product spline functions. By conducting an empirical analysis using data from Japan, we elucidate the extent to which the hedge effectiveness is improved by constructing mixed derivatives from various perspectives. Furthermore, we compare the hedge performance between high-granular (hourly) and low-granular (daily) formulations, revealing the advantages of utilizing a high-granular hedging approach.