考虑电力期货交易的发电企业全市场收益优化模型

doi:10.12204/j.issn.1000-7229.2024.05.014

摘要/Abstract

摘要：

期货交易存在保证金和强行平仓制度,全市场背景下电力期货交易制度的特殊性在一定程度上影响着发电企业收益。考虑负荷变化,利用电力期货交易规避电价波动造成的发电侧盈亏风险,构建了一种发电企业全市场收益优化模型。首先,搭建含现货、远期合同和期货合约的电力市场交易架构;其次,以发电企业售电收益最大为目标,逐级搭建含现货、远期合同和期货合约的发电企业收益模型,并给出相应求解算法;最后,采用6个发电企业构成的无阻塞电力市场进行仿真模拟,对收益模型的合理性与有效性进行了验证。结果表明:负荷侧波动导致电价明显波动,电力期货的引入能提高电价稳定性,提高发电企业利润,将发电企业利润损失风险转移到期货市场中,并且边际成本越大的发电企业利润提高越明显;在一定的期货与现货电量配比范围内,配比越大,发电企业利润提高越多,但超过范围后,期货保证金利息亏损变多,发电企业利润反而减少。

关键词: 电力期货, 发电企业, 全市场收益模型, 电力市场, 电价稳定

Abstract:

Margin and forced liquidation systems in futures trading affect the income of power generation companies to a certain extent in the market context. Considering the changes in load, this study uses electricity futures trading to avoid the profit and loss risk of power generation caused by electricity price fluctuations and constructs a market-wide revenue optimization model for power generation companies. First, we construct a trading structure for the electricity market that includes spot, forward, and futures contracts. Second, with the goal of maximizing revenue from electricity sales of power generation companies, the income model of power generation companies, including spot, forward, and futures contracts, is built step-by-step, and the corresponding solution algorithm is given. Finally, a non-blocking power market comprising six power generation companies is used for the simulation, and the rationality and effectiveness of the revenue model are verified. The results show that load fluctuations lead to obvious fluctuations in electricity prices, and the introduction of electricity futures can improve the stability of electricity prices and the profits of power generation companies and transfer the risk of profit loss of power generation companies to the futures market. The increase in the profits of power generation companies with greater marginal costs is more obvious. Within a certain range of futures and spot electricity ratios, the larger the ratio, the greater the profits of the power generation company; however, after exceeding the range, the loss of futures margin interest increases, which causes the profits of power generation companies to decrease.

Key words: electricity futures, power generation company, market-wide revenue model, electricity market, stable electricity prices

中图分类号:

TM61

陶冶, 魏震波, 兰森林, 史爽, 苏鹏欢. 考虑电力期货交易的发电企业全市场收益优化模型[J]. 电力建设, 2024, 45(5): 141-149.

TAO Ye, WEI Zhenbo, LAN Senlin, SHI Shuang, SU Penghuan. Market-wide Revenue Optimization Model of Power Generation Company Considering Electricity Futures Trading[J]. ELECTRIC POWER CONSTRUCTION, 2024, 45(5): 141-149.

图/表 11

图1 含期货合约的电力市场架构

Fig.1 Electricity market architecture with futures contracts

表1 各发电企业发电信息

Table 1 Information of each power generation company

表2 各发电企业远期合同签订信息

Table 2 Forward contracts information of each power generation company

表3 各发电企业期货签约信息

Table 3 Futures contracts information of each power generation company

图2 天府新区2021年、2020年负荷曲线

Fig.2 Load curves in Tianfu new area in 2021 and 2020

图3 负荷变化拟合曲线

Fig.3 Fitting curve of load variation

图4 K=20、L(t)取拟合值时月均电价变化趋势

Fig.4 The trend of the average monthly electricity price when K=20 and the L(t) is the fitting value

图5 K=20、L(t)取拟合值时月均电价变化百分比

Fig.5 The percentage change in the average monthly electricity price for each month when K=20 and the L(t) is the fitting value

图6 各发电企业每月的利润堆积折线图

Fig.6 The monthly profit accumulation of each power generation company

表4 各发电企业年利润信息

Table 4 Annual profit information of each power generation company

图7 αQ取值不同时,发电企业3每月的利润堆积折线图

Fig.7 The monthly profit accumulation of each power generation company when αQ is different

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