Impact of Virtual Bidding on Forward Premia in the California Independent System Operator
Impact of Virtual Bidding on Forward Premia in the California Independent System Operator
复制标题
虚拟投标对加州独立系统运营商远期溢价的影响
DOI：
--
复制
发表时间：
2015
期刊：
影响因子：
--
通讯作者：
Jeremy Larrieu
中科院分区：
文献类型：
--
作者：
Jeremy Larrieu
在加州电力批发市场，实物电力通过多单位多结算单一价格拍卖进行竞争性销售，该拍卖由日前远期市场和实时现货市场组成。从历史上看，远期价格和现货价格之间存在显着差异，导致市场效率低下。 2011 年，加州独立系统运营商实施了虚拟投标，作为部分解决方案，通过向金融投机者开放远期市场，与物理发电或负载没有任何联系，从而统一市场之间的价格。使用 2009 年 4 月至 2014 年 3 月之间的 5 年数据，我估计了系统范围内的远期溢价和两个最大交易中心的远期溢价的每小时时间序列模型。我发现虚拟买盘和卖盘对非高峰时段的远期溢价没有影响。在高峰时段，我发现虚拟投标导致远期和现货价格出现分歧，因为大量市场参与者希望通过虚拟需求投标来对冲或投机偶发但大幅的现货价格飙升。放置在最大交易中心的虚拟货币与更大的价格差异相关，这表明虚拟需求出价也扭曲了节点水平的拥塞和损失的价格。
In the California wholesale electricity market, physical power is sold competitively in a multi-unit multi-settlement single-price auction comprised of a day-ahead forward market and a real-time spot market. Historically, significant divergences have arisen between forward and spot prices, leading to market inefficiencies. In 2011, the California Independent System Operator implemented virtual bidding as a partial solution to converge prices between markets by opening the forward market to financial speculators without any ties to physical generation or load. Using 5 years of data between April 2009 and March 2014, I estimate hourly time-series models of the system-wide forward premium, and forward premia at the two largest trading hubs. I find virtual bids and off ers to have had no effect on the forward premia during off -peak hours. During peak hours, I find virtual bidding to have caused forward and spot prices to diverge due to the large number of market participants looking to hedge against — or speculate on — the occurrence of infrequent but large spot price spikes by placing virtual demand bids. Virtuals placed at the largest trading hubs were associated with even larger price divergences, suggesting virtual demand bids also distorted the price of congestion and losses at the nodal level.