Towards an Understanding of Deregulated Electricity Markets through Time Series Analysis

本研究的目的是了解在新的管理规则下的电力市场行为和大规模电力系统的工程方面之间的相互作用。 允许金融机构自由地指导电力系统的日常运作存在许多实际困难。 电力商品必须在严格的物理规律和极高的可靠性要求下实时产生、分配和消费。 这一过程远比石油或农产品等传统商品的分配更为严格和复杂。 此外，电力系统对所有经济活动领域的重要性表明，对任何可能从根本上改变系统运行的变化都要谨慎。 当然，评估放松管制的市场的有效性是非常重要的，以保持可靠的电力系统的性能。 无论是传统的工程学还是经济学的观点都不能单独为交易和其他金融工具的行为提供完整的解释。 与拟议的工作直接相关的是存在可预测的价格变动模式，这可能表明市场或电力系统的问题。 这些问题包括价格波动、系统可靠性差、市场支配力过大导致价格高企以及市场效率低下。 本研究将开发技术来分析放松管制的电力市场，以确定是否存在市场行为，代表了电力系统正常运行的关注条件。特别是，所提出的研究的第一项任务包括研究相关的电力系统数据应用领域的特定知识和定性数据分析，以确定有趣的现象，在时间序列中，代表电力和辅助服务价格。 第二项工作是对选定的时间序列进行仔细的预处理，并使用我们初步研究中制定的方法进行深入分析。 我们将集中在相关的电力系统运行条件确定的定价制度。 随后，第三个任务包括一个深入的性能分析电力市场对应的时间序列研究的第二个任务。 本论文的主要目的是解决电力市场中存在的一个基本问题：电力市场中是否存在可预测的定价行为，这种定价行为表明电力市场存在问题，并可能扭曲电力系统的经济和可靠运行。 长远目标不是追求更高的回报，而是发展更有效率及更有效的市场规管。这个建议的项目是一项跨学科的工作，结合了我们先前的研究工作：（a）有效的规划和操作工具，将最新的计算方法应用于电力系统工程问题;以及（B）通过数据分析、先验知识和从实际复杂领域中的示例学习的精确知识发现系统。

The objective of this study is to gain understanding of the interactions between the behavior of electricity markets under new management regulations and the engineering aspects of large-scale electric power systems. There are numerous practical difficulties in allowing financial mechanisms the freedom to directing day-today operations of the power system. The electric commodity must be generated, distributed and consumed in real-time under strict physical laws and extremely high reliability requirements. This process is far more exacting and complex then the distribution of traditional commodities, such as, oil or agricultural products. Further, the importance of the electric power system to all areas of economic activity suggests caution for any changes that may radically alter system operation. Certainly, assessing the effectiveness of the deregulated markets is of great importance for maintaining reliable power system performance. Neither traditional engineering nor the economics viewpoint can alone provide complete explanations for behavior in trades and other financial instruments. Of direct relevance to the proposed work is the existence of predictable patterns of price movements that may indicate either market or power system problems. These problems include price volatility, poor system reliability, excessive market power leading to high prices, and market inefficiencies. This study will develop techniques to analyze the deregulated electricity market in order to determine if there exists market behavior that represents conditions of concern for proper operation of the power system. In particular, the first task of the proposed study consists of studying relevant power system data applying domain specific knowledge and qualitative data analysis in order to identify interesting phenomena in the time series that represents electricity and ancillary service prices. As a second task, the selected time series will be carefully pre-processed, and subject to an in-depth analysis using methodology developed in our preliminary studies. We will focus on relating identified pricing regimes to power system operating conditions. Subsequently, the third task consists of an in-depth performance analysis for electricity markets corresponding to the time series studied in the second task. The objective of this fanal task is to address the fundamental question in this research: does predictable pricing behavior exist in the electricity markets that indicate market problems and which might distort economic and reliable operation of the power system. The long-term objective is not to seek higher returns but to develop more efficient and effective market regulations.This proposed project is a cross-disciplinary effort that combines our prior research efforts in the development of: (a) effective planning and operation tools that apply the latest computational methods to power system engineering problems; and (b) accurate knowledge discovery systems through data analysis, prior knowledge, and learning from examples in practical complex domains.