A game theoretic model for equilibrium pricing of futures electricity contracts

Jiang Wu; Xiaohong Guan; Feng Gao; Guoii Sun

doi:10.1109/PES.2008.4596634

A game theoretic model for equilibrium pricing of futures electricity contracts

Jiang Wu
, Xiaohong Guan
, Feng Gao
, Guoii Sun

Faculty of Electronic and Information Engineering

IEEE
Tsinghua University
Xi'an Jiaotong University

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

3 Scopus citations

Abstract

Due to the unique characteristics of electricity markets, the traditional methods to futures contracts pricing, which have been widely used to common commodity, can not be applied directly. This paper presents a Cournot game model for equilibrium pricing of futures electricity contracts. In the game, each Genco optimizes a generation asset allocation problem between monthly futures contracts and the daily spot market, with consideration of market power in futures market, price risk in spot market and operating costs and constraints of generating units. An iterative method is applied to obtain the Cournot-Nash equilibrium of the futures contract prices. Finally, the possible factors influencing the futures price equilibriums are discussed with case studies.

Original language	English
Title of host publication	IEEE Power and Energy Society 2008 General Meeting
Subtitle of host publication	Conversion and Delivery of Electrical Energy in the 21st Century, PES
DOIs	https://doi.org/10.1109/PES.2008.4596634
State	Published - 2008
Event	IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES - Pittsburgh, PA, United States Duration: 20 Jul 2008 → 24 Jul 2008

Publication series

Name	IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES

Conference

Conference	IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES
Country/Territory	United States
City	Pittsburgh, PA
Period	20/07/08 → 24/07/08

Keywords

Cournot game
Electricity markets
Futures contract
Generation asset allocation

Access to Document

10.1109/PES.2008.4596634

Cite this

Wu, J., Guan, X., Gao, F., & Sun, G. (2008). A game theoretic model for equilibrium pricing of futures electricity contracts. In IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES Article 4596634 (IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES). https://doi.org/10.1109/PES.2008.4596634

Wu, Jiang ; Guan, Xiaohong ; Gao, Feng et al. / A game theoretic model for equilibrium pricing of futures electricity contracts. IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES. 2008. (IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES).

@inproceedings{2045d7061dc246db800e0517a7893a30,

title = "A game theoretic model for equilibrium pricing of futures electricity contracts",

abstract = "Due to the unique characteristics of electricity markets, the traditional methods to futures contracts pricing, which have been widely used to common commodity, can not be applied directly. This paper presents a Cournot game model for equilibrium pricing of futures electricity contracts. In the game, each Genco optimizes a generation asset allocation problem between monthly futures contracts and the daily spot market, with consideration of market power in futures market, price risk in spot market and operating costs and constraints of generating units. An iterative method is applied to obtain the Cournot-Nash equilibrium of the futures contract prices. Finally, the possible factors influencing the futures price equilibriums are discussed with case studies.",

keywords = "Cournot game, Electricity markets, Futures contract, Generation asset allocation",

author = "Jiang Wu and Xiaohong Guan and Feng Gao and Guoii Sun",

year = "2008",

doi = "10.1109/PES.2008.4596634",

language = "英语",

isbn = "9781424419067",

series = "IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES",

booktitle = "IEEE Power and Energy Society 2008 General Meeting",

note = "IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES ; Conference date: 20-07-2008 Through 24-07-2008",

}

Wu, J , Guan, X, Gao, F & Sun, G 2008, A game theoretic model for equilibrium pricing of futures electricity contracts. in IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES., 4596634, IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES, IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES, Pittsburgh, PA, United States, 20/07/08. https://doi.org/10.1109/PES.2008.4596634

A game theoretic model for equilibrium pricing of futures electricity contracts. / Wu, Jiang ; Guan, Xiaohong; Gao, Feng et al.
IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES. 2008. 4596634 (IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - A game theoretic model for equilibrium pricing of futures electricity contracts

AU - Wu, Jiang

AU - Guan, Xiaohong

AU - Gao, Feng

AU - Sun, Guoii

PY - 2008

Y1 - 2008

N2 - Due to the unique characteristics of electricity markets, the traditional methods to futures contracts pricing, which have been widely used to common commodity, can not be applied directly. This paper presents a Cournot game model for equilibrium pricing of futures electricity contracts. In the game, each Genco optimizes a generation asset allocation problem between monthly futures contracts and the daily spot market, with consideration of market power in futures market, price risk in spot market and operating costs and constraints of generating units. An iterative method is applied to obtain the Cournot-Nash equilibrium of the futures contract prices. Finally, the possible factors influencing the futures price equilibriums are discussed with case studies.

AB - Due to the unique characteristics of electricity markets, the traditional methods to futures contracts pricing, which have been widely used to common commodity, can not be applied directly. This paper presents a Cournot game model for equilibrium pricing of futures electricity contracts. In the game, each Genco optimizes a generation asset allocation problem between monthly futures contracts and the daily spot market, with consideration of market power in futures market, price risk in spot market and operating costs and constraints of generating units. An iterative method is applied to obtain the Cournot-Nash equilibrium of the futures contract prices. Finally, the possible factors influencing the futures price equilibriums are discussed with case studies.

KW - Cournot game

KW - Electricity markets

KW - Futures contract

KW - Generation asset allocation

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U2 - 10.1109/PES.2008.4596634

DO - 10.1109/PES.2008.4596634

M3 - 会议稿件

AN - SCOPUS:52349110434

SN - 9781424419067

T3 - IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES

BT - IEEE Power and Energy Society 2008 General Meeting

T2 - IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES

Y2 - 20 July 2008 through 24 July 2008

ER -

Wu J , Guan X, Gao F, Sun G. A game theoretic model for equilibrium pricing of futures electricity contracts. In IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES. 2008. 4596634. (IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES). doi: 10.1109/PES.2008.4596634

A game theoretic model for equilibrium pricing of futures electricity contracts

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