Stochastic models for bidding strategies on oligopoly electricity market

被引：0
作者：
Magdalena Borgosz-Koczwara
Aleksander Weron
Agnieszka Wyłomańska
机构：
[1] Wroclaw University of Technology,Institute of Industrial Engineering and Management
[2] Wroclaw University of Technology,Hugo Steinhaus Center, Institute of Mathematics and Computer Science
来源：
Mathematical Methods of Operations Research | 2009年 / 69卷
关键词：
Power market; Bidding strategy; Supply function equilibrium model; Cournot model; Forward/futures contract; Asian-type call option;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper we consider the forward/futures contracts and Asian-type call options for power delivery as important components of the bidding strategies of the players’ profits on the electricity market. We show how these derivatives can affect their profit. We use linear asymmetric supply function equilibrium (SFE) and Cournot models to develop firms’ optimal bidding strategies by including forward/futures contracts and Asian-type options. We extend the methodology proposed by Niu et al. (IEEE Trans Power Syst 20(4):1859–1867, 2005), where only forward contracts for power delivery were considered in the SFE model.
引用
收藏
页码：579 / 592
页数：13
相关论文
共 16 条
  • [1] Baldick R(2004)Theory and application of linear supply function equilibrium in electricity markets J Regul Econ 25 143-167
  • [2] Grant R(2006)A coevolutionary approach to analyzing supply function equilibrium model IEEE Trans Power Syst 21 1019-1028
  • [3] Kahn E(1999)The electricity contract market in England and Wales J Ind Econ 47 107-123
  • [4] Chen H(1989)Supply function equilibria in oligopoly under uncertainty Econometrica 57 1243-1277
  • [5] Wong KP(2005)Supply function equilibrium bidding strategies with fixed forward contracts IEEE Trans Power Syst 20 1859-1867
  • [6] Chung CY(2006)Market power and trading strategies on the electricity market: a market design view, IEEE Trans Power Syst 21 1180-1190
  • [7] Nguyen DHM(2008)Market price of risk implied by Asian-style electricity options and futures Energy Econ 30 1098-1115
  • [8] Green R(undefined)undefined undefined undefined undefined-undefined
  • [9] Klemperer PD(undefined)undefined undefined undefined undefined-undefined
  • [10] Meyer MA(undefined)undefined undefined undefined undefined-undefined
12