Market power analysis in electricity markets using supply function equilibrium model

This paper presents a surveillance method based on the gametheory which is used by the ISO to find whether a power supplierin an electricity market has market power. The paper uses thesupply function equilibrium model to analyse the generationsuppliers’ bidding behaviour and models the ISO's marketpower monitoring problem as a bi-level multi-objective problem.The outer sub-problem is a multi-objective problem which maximizessuppliers’ payoffs, while the inner one is the ISO's marketclearing problem based on the locational marginal pricing mechanism.A discrete method is adopted to find ‘good enough’solutions, in a continuous bidding strategy space, which arethe intersection of all suppliers’ optimal response spacesaccording to Nash equilibrium. The paper utilizes the IEEE 118-bussystem to illustrate the application of the proposed methodwith three suppliers as price setters in the energy market andthe other generators as price takers. The numerical resultsshow that the transmission congestion may enhance the suppliers’ability to exercise market power. Likewise, suppliers’gaming behaviour could relieve the transmission congestion.It is shown that applying price caps is an efficient way ofmitigating market power.     

Strategic bidding in continuous electricity auctions: an application to the Spanish electricity market

In this paper we introduce an asymmetric model of continuous electricity auctions with limited production capacity and bounded supply functions. The strategic bidding is studied with this model by means of an electricity market game. We prove that for every electricity market game with continuous cost functions a mixed-strategy Nash equilibrium always exists. In particular, we focus on the behavior of producers in the Spanish electricity market. We consider a very simple form for the Spanish electricity market: an oligopoly consisting just of independent hydro-electric power production units in a single wet period. We show that a pure-strategy Nash equilibrium for the Spanish electricity market game always exists.     

Privacy impact on generalized Nash equilibrium in peer-to-peer electricity market

We consider a peer-to-peer electricity market, where agents hold private information that they might not want to share. The problem is modeled as a noncooperative communication game, which takes the form of a Generalized Nash Equilibrium Problem, where the agents determine their randomized reports to share with the other market players, while anticipating the form of the peer-to-peer market equilibrium. In the noncooperative game, each agent decides on the deterministic and random parts of the report, such that (a) the distance between the deterministic part of the report and the truthful private information is bounded and (b) the expectation of the privacy loss random variable is bounded. This allows each agent to change her privacy level. We characterize the equilibrium of the game, prove the uniqueness of the Variational Equilibria and provide a closed form expression of the privacy price. Numerical illustrations are presented on the 14-bus IEEE network.     

Agent-based analysis of technological diversification and specialization in electricity markets

This paper develops a model-based analysis of technological market structure evolution in electricity markets. This is done through the development of a power plant trading game that, via computational learning, simulates how players coordinate their behaviour in buying and selling power generation assets. In particular, we look at the question of how market performance depends upon the different technological types of plant owned by the generators, and whether, through the strategic adaptation of their power plant portfolios, there is a tendency for the market to evolve into concentrations of specialized or diversified companies.     

Informational uniqueness of closed-loop Nash equilibria for a class of nonstandard dynamic games

This paper discusses an extension of the currently available theory of noncooperative dynamic games to game models whose state equations are of order higher than one. In a discrete-time framework, it first elucidates the reasons why the theory developed for first-order systems is not applicable to higher-order systems, and then presents a general procedure to obtain an informationally unique Nash equilibrium solution in the presence of random disturbances. A numerical example solved in the paper illustrates the general approach.Dedicated to G. LeitmannResearch that led to this paper was supported in part by the Office of Naval Research under Contract No N00014-82-K-0469 and in part by the U.S. Air Force under Grant No. AFOSR-84-0054.     

MCMC calibration of spot‐prices models in electricity markets

The calibration of some stochastic differential equation used to model spot prices in electricity markets is investigated. As an alternative to relying on standard likelihood maximization, the adoption of a fully Bayesian paradigm is explored, that relies on Markov chain Monte Carlo (MCMC) stochastic simulation and provides the posterior distributions of the model parameters. The proposed method is applied to one‐ and two‐factor stochastic models, using both simulated and real data. The results demonstrate good agreement between the maximum likelihood and MCMC point estimates. The latter approach, however, provides a more complete characterization of the model uncertainty, an information that can be exploited to obtain a more realistic assessment of the forecasting error. In order to further validate the MCMC approach, the posterior distribution of the Italian electricity price volatility is explored for different maturities and compared with the corresponding maximum likelihood estimates.     

Nash equilibrium in a pay-as-bid electricity market Part 2 - best response of a producer

We consider a multi-leader-common-follower model of a pay-as-bid electricity market in which the producers provide the regulator with either linear or quadratic bids. We prove that for a given producer only linear bids can maximize his profit. Such linear bids are referred as the ‘best response’ of the given producer. They are obtained assuming the demand is known and some estimate of the bids of the other producers is available. Nevertheless we also show that whenever no best response exists, the optimal profit can be asymptotically attained by a sequence of quadratic bids converging to the so-called ‘limiting best response’. An explicit formula for such a sequence is provided.     

A proposed model for co-optimization of energy and reserve in competitive electricity markets

Operating reserve assessment has become increasingly important in the new utility environment in which ancillary services have been assigned a value. This paper presents a procedure for compulsory provision of spinning reserve using a risk-constrained cost-based mechanism. In this mechanism, the electrical energy and spinning reserve are dealt with simultaneously because the provision of reserve cannot be decoupled from the provision of energy. Generators are paid the opportunity cost associated with their reduced energy because compulsion is financially unattractive among them. The transmission system reliability is considered in a simplified manner when computing composite system risk. In the proposed structure, the Independent System Operator (ISO) is responsible for reliability management and is thus responsible for providing sufficient reserve on behalf of the users of the system. The method is applied to the Roy Billinton Test System (RBTS). The General Algebraic Modeling System (GAMS Rev. 140) is used to solve the mixed integer nonlinear co-optimization problems.     

A note on system modelling and control in the case of conflicting objectives

The paper is concerned with the problem of system modelling in the case of many decision makers with conflicting goals. The suggested approach, preserving much of the tractability of the standard LQG problems, allows to take into account decision makers' risk attitudes. This revised version was published online in June 2006 with corrections to the Cover Date.     

Comments on purification in continuum games

It is pointed out that Corollary 1 in a recent paper by Khan et al. (Int J Game Theory 34:91–104, 2006), presented there as an extension of the Dvoretzky–Wald–Wolfowitz theorem, is a special case of Lyapunov’s theorem for Young measures (Balder in Rend Instit Mat Univ Trieste 31 Suppl. 1:1–69) It is also pointed out that Theorems 1–4 in Khan et al. (Int J Game Theory 34:91–104, 2006) follow from a single strong purification per se result that is already contained, as an implementation of that Lyapunov theorem for Young measures, in the proof of Theorem 2.2.1 in Balder (J Econ Theory 102:437–470, 2002).     

电力市场中合同电量与竞争电量交易比例的研究

在单边开放的区域电力市场中,合理的合同电量与竞争电量交易比例是保证电力市场有效运行的一个重要环节。竞争电量所占的比例将主要取决于当前发电公司的市场行为。首先使用BP神经网络对电力需求弹性系数进行了预测,然后以长期电力市场均衡为目标函数,考虑贵州电网发电机组的可用容量与负荷预测的误差,以及贵州输电线路的可靠性诸因素,推导出合同电量与竞争电量交易比例,经过与南方区域电力市场目前运营规则规定的交易比例比较,该比例是合理的,可以规避电力市场价格波动等带来的风险。     

机制转换条件下股市收益率跳跃行为研究:基于RS-ARJI模型的以中国股市为例的实证分析

为检验股市收益率机制转换特性,考察机制转换条件下股市收益率的跳跃特征,以及在不同机制下跳跃行为对股市收益率的冲击效应,将Markov机制转换思想引入自回归跳跃(ARJI)模型,构建一个机制转换自回归跳跃(RS-ARM)模型.基于该模型对中国股市进行实证研究,结果表明:股市存在高、低波动两种机制,高波动时期的跳跃幅度和强度及其对股市收益率的冲击均大于低波动时期.同时,波动率估计和预测评价指标显示,RS-ARJI模型优于目前被广泛使用的GARCH模型和ARJI模型.     

重大突发事件对国际外汇市场影响分析:基于英国脱欧公投事件

从外汇市场收益率、收益率波动及联动性三个维度全面考察了英国脱欧公投事件对部分世界主要汇率冲击影响全过程。首先,利用时间序列异常点诊断算法研究了公投期间汇率异常波动全过程,发现所有汇率影响显著,但人民币反应具有时滞特征,说明其国际化水平有待进一步提高。进一步,构建了刻画收益率波动的三阶段变结构GARCH模型,结果发现汇率市场异常波动和重大突发事件发生具有显著同步性特征,同时人民币汇率在公投期间波动最小。接着,通过非线性门限协整检验发现汇市之间关联性和共移性较高,公投事件对汇市联动性造成结构性改变,但市场之间依旧保持紧密均衡关系。最后,通过稳健性检验说明了模型选择及结果的合理性。