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

电子与信息学部

IEEE
Tsinghua University
Xi'an Jiaotong University

科研成果: 书/报告/会议事项章节 › 会议稿件 › 同行评审

3 引用（Scopus）

摘要

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.

源语言	英语
主期刊名	IEEE Power and Energy Society 2008 General Meeting
主期刊副标题	Conversion and Delivery of Electrical Energy in the 21st Century, PES
DOI	https://doi.org/10.1109/PES.2008.4596634
出版状态	已出版 - 2008
活动	IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES - Pittsburgh, PA, 美国期限: 20 7月 2008 → 24 7月 2008

丛书

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

会议

会议	IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES
国家/地区	美国
市	Pittsburgh, PA
时期	20/07/08 → 24/07/08

访问文件

10.1109/PES.2008.4596634

其它文件与链接

链接到 Scopus 的出版物

引用此

Wu, J., Guan, X., Gao, F., & Sun, G. (2008). A game theoretic model for equilibrium pricing of futures electricity contracts. 在 IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES 期刊论文 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 等. / 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. 在 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, 美国, 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 等.
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).

科研成果: 书/报告/会议事项章节 › 会议稿件 › 同行评审

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

UR - https://www.scopus.com/pages/publications/52349110434

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. 在 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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