{"title":"电力市场多技术优势排序的改进竞价叠加模型","authors":"T. Wottka","doi":"10.2139/ssrn.2897010","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":294049,"journal":{"name":"ERN: Other European Economics: Microeconomics & Industrial Organization (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"A Refined Bid Stack Model for the Multi-Technology Merit Order of Electricity Markets\",\"authors\":\"T. Wottka\",\"doi\":\"10.2139/ssrn.2897010\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":294049,\"journal\":{\"name\":\"ERN: Other European Economics: Microeconomics & Industrial Organization (Topic)\",\"volume\":\"32 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-03-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other European Economics: Microeconomics & Industrial Organization (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2897010\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other European Economics: Microeconomics & Industrial Organization (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2897010","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.