基于高阶矩波动特性的大用户多期购电组合风险分析
摘要：直购电环境下,大用户需要综合考虑收益和风险的权衡问题,进行多个市场、多个阶段的购电决策。在短期市场中,电价往往具有较强的波动性,且呈现尖峰、厚尾的特点,本文考虑到实时电价序列二阶矩、三阶矩、四阶矩的时变特征,运用ARIMA-GJRSK模型对其进行拟合,并提出“轮盘赌”的模拟方法。进而,针对日前和实时两个电力市场,建立大用户期末收益最大、多期一致性风险测度指标最小的购电组合优化模型。算例结果表明,多期购电组合决策要优于单期连续决策,所建模型可以为大用户购电决策及其风险度量提供支持。
Abstract:During direct power purchasing, large consumers need synthetically consider the balance between risk and profit, and purchase power among multi-markets and during multi-phases. In the short-term market, electricity price usually have such characteristics as strong volatility with excess kurtosis and heavy-tail. In this paper, the time-varying characteristics of second, third and fourth moments of spot price are considered, and Roulette simulate method is proposed by using the ARIMA-GJRSK model to fit spot price series. Then, as to day-ahead market and spot market, an optimal direct purchasing portfolio model is built with such objectives as the maximizing expected profit and minimizing multi-phase coherent risk measurement index. Calculation result shows that multi-phase power purchasing portfolio strategy is better than single-phase successive decision-making scheme, and proposed model provides reference for large consumers' power purchasing decision-making and its risk measurement.
标题：基于高阶矩波动特性的大用户多期购电组合风险分析
英文标题：Risk Analysis on Large Consumer's Multi-phase Power Purchasing Portfolio Based on Higher Moments Volatility Characteristics
作者：瞿斌, 范明武,
关键词：大用户直购电, 多期一致性风险测度, 高阶矩, ARIMA-GJRSK模型,
发表日期：2015-06-09
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