区域电力市场新型交易模式的研究

上海交通大学硕士学位论文区域电力市场新型交易模式的研究姓名：陈纯申请学位级别：硕士专业：电力系统及其自动化指导教师：蒋传文200805011,,1.22.3RESEARCHONTHEREGIONALPOWERMARKETNEWTRADINGMODEABSTRACTAsthederegulationofpowerindustry,thepowerindustryhasgonethroughatremendouschangeinGenerationpartandtradingpart.Howtooperatealongtermstablepowermarketandorganizetheriskmanagementisbecominganimportantissue.Especially,howtousethefinancialengineeringtheoryintothepowermarketdeservesanationalwideconcern.Nowadays,theregionalpowermarkethasusetheexperienceoflongtermcontract,day-aheadtradeandrealtimetradeintothemarket.Theonlyweaknessisnottotaketheoptiontradeintotheregionalmarket.Thepaperdoesresearchesonthespot.Thispapercomprisessevenchapters.InchapterI,thesignificanceofthethesis,currentresearchworksofdomesticandforeign,andtheriskofhydroplantareintroduced.InchapterII,thedevelopmentandprocessofpowermarketarediscussed.InchapterIII,thetraditionalmodeisintroducedandcomparedtothestrengthandweaknessofthemodes.InchapterIV,tworegionalpowermarketsineastnorthandeastofChinaisintroduced.Itisdiscussedtheregionalpowermarketmodeandtheapplicationofoptiontrade.InchapterV,theGenerationRightsisimportantlydiscussedinthechapter.Agenerationrightsmodeconsideringtheenergyconsumingisbuilt.InchapterVI,itisgiventhepowermarketmodewiththeenergysavingenvironment.4Themainworksofthepaperaresummarizedinthelastchapter.Theinnovationsofthepaperareasfollows.1.Basedonthefinancialtheory,thepaperintroducestheoptiontradingintotheregionalpowermarket.Especially,itisconsideredtheoptiontradinginthegenerationpart.2.Thepaperconsiderstheenergysavingreformpolicy,givethepowermarketmodewiththeenergysavingenvironment.KEYWORDS:regionalpowermarket,optiontrading,generationtrading,fitness,energyconsuming,energysaving20085112008511200851111.11.1.12080[1]207019821987719904CEGB312199171992123kW1kW199019941995219921998126200232520031.1.2,,,2000[14](Forwardcontract)3(Futurecontract)(Optionscontract)FinancialDerivativesInstrument1.1.3kWh60g[12]20075“”8210941.21.2.12000[31,32]50%PJM75%65%[33]RoutledgeSeppi[34]HBessembinder[35][36]1.2.253.15205000kW201090002162201.31.3.11231.3.2672.1,,..[23]:,82.220199719983197102019982000;200120102002;9;20102.39019941/31998200012000496510%~20%80%~90%66200320022003101180----PJM3.119901717NETA[5]3.1.1CentralElectriceGenerationButeau,CEGB19904:31NationalPowerPowergenNuclearElectricNationalGridCompany1POOL12RegionalElectricityCompanyPOOL(PSA:PoolingSettlementAgreement)12POOLPOOL50MWPOOLPOOLPOOL(Powerpool)10POOL199810NewElectricityTradingArrangement,NETA3.1.2NETANETANETAPOOL97~98%.(1)OTC24(2)241(3)NGCNGCSO413(4)NETAPX3.1.3POOL1234---NETAPOOLNETA95%5%123[4]3.214[6][7]1OTC2343.31996FERC(FederalEnergyRegulatoryCommission)888889(ElectricityRestructuring)PJM[8][10]3.3.1200111715100(1)(2)3.3.2PJMPJM()PJMPJMPJMPJMPJM:PJMPJM16PJMPJMPJM[11]3.3.32001FERC20027SMD(StandardMarketDesign)[14]SMD1CRR(CongestionRevenueRight)CRR23ITP(IndependentTransmissionProvider)ITP12344SMD17SMDSMDSMD[13]200331SMD3.4NETASMD(1)80%(2)(3)184.120041154.1.1120120023940kW541kW3399kW428.25kW1942.95kW500kV220kV500kV161380.6kVA500kV315031220kV2214132.6kVA220kV47322845.1665kWh,2578kW.1999194.1.220047+++200471+++++20%80%++100%4.1.32004200542220041222220041.182020055273785kWh290984/MWh156.5/MWh5.592/MWh270.092/MWh518.84kWh578564.24.2.1200478800MW5249kWh11.1%16%69163MW4620.29kWh6.16%14.77%19165MW13.22%200479581MW3067.6MW81.59%14.56%3.85%2004500kV571229333.084500kV500kV84165150500kV2687MVA12297.5MVA220kV51097413958712812131514.824.2.2+++/10%90%4.2.320045182005512527.63kWh2.23:176.7kWh33.5%0.472/kWh0.31/kWh1126.1kWh13.66%0.416/kWh0.28/kWh224.3242010++200363.4%23245.15.1.1FinancialEngineering208090(JohnF.Marshall)No-Arbitrage1958(FrancoModigliani)(MertonM.Miller)AmericanEconomicReview[37]()()[38]255.1.25.1.2.1(OvertheCounter).5.1.2.22:;(ReversingTransition)5.1.2.326[6];5.1.35.1.3.180%(ContractforDifferences):66$40/MWh100MWh6$40/MWh,5.1.3.227;5.1.3.3285.25.2.15.2.1.1CallOptionStrikeOption[20-21]5.2.1.2[76]295.2.1.35.2.1.45.2.1.5305.2.2[17,23]5.2.2.15.2.2.25.2.2.3Hogan1992FTRFinancialTransmissionRight315.3,,,,5.3.1,,,,5.3.2325.3.35.3.3.15.3.3.233iPiQijPjQjijQijijPiUijUj()iiijijUPPQ=−⋅(5-1)()jijjijUPPQ=−⋅(5-2)ijU()()()ijiijijijjijijijUPPQPPQPPQ=−⋅+−⋅=−⋅(5-3)()/2ijijPPP=+11maxnmijijU==∑∑(5-4)11()jjijnijsimijBjijBSijijQQQQUPPCQ==≤≤=−−⋅∑∑(5-5)3345.45.4.1a.nB1,B2,,Bn;mS1,S2,,SmiQBiPBi,jQSjPSjb.ijQij,Pij,(PBi-Pij)Qij,(Pij-PSj)Qij,,:Uij=(PBi-Pij)Qij+(Pij-PSj)Qij=(PBi-PSj)Qij5-6(1),,,,Pij:Pij=PBi+PSj/25-7c.,,:11maxnmijijU==∑∑5-4:3511()jjijnijsimijBjijBSijijQQQQUPPCQ==≤≤=−−⋅∑∑5-5:i=1,2,,n;j=1,2,,m,5.4.2,,,,:,5.4.2.1:a.CC,b.CR,,()5.4.2.2a.CC,b.CR,36,Cc.,,d.5.55.5.1iPiQijPjQjijQijijPiUijUj11maxnmijijU==∑∑(5-8)11()jjijnijsimijBjijBSijijQQQQUPPCQ==≤≤=−−⋅∑∑(5-9)3375.5.2200785-15-1(kV)(MW)G1G1-1-2_10.540G1G1_03__10.560G1G1_04__10.5100G1G1_05__15.8105G1305G2G2_1_24573G2G2_2_24573G21146G3G3_1__13.8100G3G3_2__13.8100G3G3_8__2314G3G3_9__2310G3G3_0__6.320G3G3_11_6.310G3G3_20_6.325G3G3_21_6.310G3G3_22_10.537G3326G4G4_1_24861G4G4_2_24900G417615-238G240316G340326G440