电力市场多技术优势排序的改进竞价叠加模型

T. Wottka
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引用次数: 1

摘要

在本文中,我们提出了电力市场的分析出价堆栈模型,该模型扩展到任意数量的N个技术类别嵌入生产堆栈(特别是N > 2)的情况。作为出价堆栈模型,所提出的框架代表了一个结构模型,该模型考虑了每个技术类别的热率范围,而不是单一的热率。我们给出了电力现货价格作为随机变量的函数的显式公式,这些随机变量包括剩余负荷,可用生产能力,以及每个技术类别的边际生产成本,包括全技术切换动态。此外,从稀缺函数形式的边际成本价格水平的偏差也包括在内。假设正态或对数正态边际成本价格动态,推导出电力现货价格期望值和电力现货欧式期权溢价的封闭表达式。
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A Refined Bid Stack Model for the Multi-Technology Merit Order of Electricity Markets
In this paper, we present an analytical bid stack model for the electricity market which is extended to the case of an arbitrary number N of technology classes embedded in the production stack (esp. for N > 2). As bid stack model, the proposed framework represents a structural model that considers a range of heat rates per technology class rather than a single heat rate. We give an explicit formula for the electricity spot price as a function of random variables like residual load, available production capacity, as well as marginal production costs per technology class including the full technology switch dynamics. Additionally, deviations from the marginal cost price level in the form of a scarcity function are included. Assuming normal or log-normal marginal cost price dynamics, closed form expressions for expectation values of the electricity spot price and for European option premiums written on the electricity spot are derived.
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