EPNES: Foreward Contracts, Multisettlement Equilibrium and Risk Management in Competitive Electricity Markets

EPNES：竞争性电力市场中的远期合同、多重结算均衡和风险管理

• 批准号: 0224779
• 负责人: Shmuel Oren
• 金额: --
• 依托单位: University of California-Berkeley
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2002
• 资助国家: 美国
• 起止时间: 2002-10-01 至 2007-09-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0224779&HistoricalAwards=false
• 关键词: EPNES; Foreward; Contracts; Multisettlement; Equilibrium

Forward contracts arid financial risk management instruments are essential elements of competitive electricity markets. They mitigate market power, suppress price volatility and ensure system reliability through market mechanisms. The design and study of such mechanisms in the context of electricity requires an interdisciplinary approach that capitalizes on developments in economics, operations research, and financial engineering while adapting and extending the existing knowledge in these areas to match the physical realities of electricity systems. This research project will develop such an interdisciplinary approach by bringing together a research team with expertise in power economics, optimization and financial mathematics. The project consist of three main technical components: Analysis of two settlement electricity markets through sequential Nash equilibrium models on DC power networks; Development of computational methods for calculating realistic two settlement equilibrium models as simultaneous optimization problems subject to equilibrium constraints; and Development of pricing methodologies for specific forward contracts and options under stochastic price movements. This research will help address technical and policy issues prompted by the restructuring of the electricity industry and will train graduate students participating in the research to cope with the multidisciplinary challenges facing that industry. The computational techniques developed under this project will be tested on realistic commercial models of the California market. New knowledge resulting from this project will be integrated through teaching modules into a broad spectrum of graduate and undergraduate courses offered to industrial engineering and to electrical engineering students.

远期合同和金融风险管理工具是竞争性电力市场的基本要素。它们通过市场机制减轻市场支配力，抑制价格波动，并确保系统可靠性。在电力的背景下，这种机制的设计和研究需要一个跨学科的方法，利用经济学，运筹学和金融工程的发展，同时适应和扩展这些领域的现有知识，以匹配电力系统的物理现实。该研究项目将通过汇集具有电力经济学，优化和金融数学专业知识的研究团队来开发这种跨学科方法。该项目包括三个主要技术组成部分：通过直流电网的连续纳什均衡模型分析两个结算电力市场;开发计算方法，用于计算现实的两个结算均衡模型，作为受均衡约束的同时优化问题;以及开发随机价格变动下特定远期合同和期权的定价方法。这项研究将有助于解决电力工业重组所引发的技术和政策问题，并将培训参与研究的研究生，以科普该行业面临的多学科挑战。该项目开发的计算技术将在加州市场的实际商业模型上进行测试。该项目产生的新知识将通过教学模块整合到为工业工程和电气工程学生提供的广泛的研究生和本科生课程中。