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Article: Trading strategy of generation companies in electricity market

TitleTrading strategy of generation companies in electricity market
Authors
Liu, MWu, FF
KeywordsBilateral contract market
Electricity market
Risk management
Spot market
Trading strategy
Utility function
Issue Date2008
PublisherZhongguo Dianji Gongcheng Xuehui. The Journal's web site is located at http://www.dwjs.com.cn
Citation
Zhongguo Dianji Gongcheng Xuebao/Proceedings Of The Chinese Society Of Electrical Engineering, 2008, v. 28 n. 25, p. 111-117 How to Cite?
AbstractIn an electricity market, generation companies (Gencos) face price risks due to the high fluctuation of the spot energy price. Bilateral contract market provides an efficient way for Gencos to hedge the price risk. Therefore, making appropriate trading strategy and allocating energy between spot and bilateral contract markets can help Gencos to achieve their trading objective of maximizing profits and minimizing risks to a large extent. Based on the mean-variance criterion, a trading decision model is proposed in which price characteristics of each trading interval during the planning period are considered and different trading strategy is made for different trading interval. Based on the historical data of the USA PJM market, simulation results confirm the rationality and efficiency of the proposed model. An analytical approach for Gencos to make trading strategies is developed.
Persistent Identifierhttp://hdl.handle.net/10722/58797
ISSN
0258-8013
2023 SCImago Journal Rankings: 1.045
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLiu, Men_HK
dc.contributor.authorWu, FFen_HK
dc.date.accessioned2010-05-31T03:37:04Z-
dc.date.available2010-05-31T03:37:04Z-
dc.date.issued2008en_HK
dc.identifier.citationZhongguo Dianji Gongcheng Xuebao/Proceedings Of The Chinese Society Of Electrical Engineering, 2008, v. 28 n. 25, p. 111-117en_HK
dc.identifier.issn0258-8013en_HK
dc.identifier.urihttp://hdl.handle.net/10722/58797-
dc.description.abstractIn an electricity market, generation companies (Gencos) face price risks due to the high fluctuation of the spot energy price. Bilateral contract market provides an efficient way for Gencos to hedge the price risk. Therefore, making appropriate trading strategy and allocating energy between spot and bilateral contract markets can help Gencos to achieve their trading objective of maximizing profits and minimizing risks to a large extent. Based on the mean-variance criterion, a trading decision model is proposed in which price characteristics of each trading interval during the planning period are considered and different trading strategy is made for different trading interval. Based on the historical data of the USA PJM market, simulation results confirm the rationality and efficiency of the proposed model. An analytical approach for Gencos to make trading strategies is developed.en_HK
dc.languageengen_HK
dc.publisherZhongguo Dianji Gongcheng Xuehui. The Journal's web site is located at http://www.dwjs.com.cnen_HK
dc.relation.ispartofZhongguo Dianji Gongcheng Xuebao/Proceedings of the Chinese Society of Electrical Engineeringen_HK
dc.subjectBilateral contract marketen_HK
dc.subjectElectricity marketen_HK
dc.subjectRisk managementen_HK
dc.subjectSpot marketen_HK
dc.subjectTrading strategyen_HK
dc.subjectUtility functionen_HK
dc.titleTrading strategy of generation companies in electricity marketen_HK
dc.typeArticleen_HK
dc.identifier.emailWu, FF: ffwu@eee.hku.hken_HK
dc.identifier.authorityWu, FF=rp00194en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-52249112269en_HK
dc.identifier.hkuros162421en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-52249112269&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume28en_HK
dc.identifier.issue25en_HK
dc.identifier.spage111en_HK
dc.identifier.epage117en_HK
dc.publisher.placeChinaen_HK
dc.identifier.scopusauthoridLiu, M=36014543100en_HK
dc.identifier.scopusauthoridWu, FF=7403465107en_HK
dc.identifier.issnl0258-8013-

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