英文标题：
《Risk Constrained Trading Strategies for Stochastic Generation with a
Single-Price Balancing Market》
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作者：
Jethro Browell
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最新提交年份：
2017
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英文摘要：
Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and risk-constrained strategies for stochastic generators participating in electricity markets with a single-price balancing mechanism. Starting from the optimal---and impractical---strategy of offering zero or nominal power, which exposes the participant to potentially large imbalance costs, we develop a number of strategies that control risk by hedging against penalising balancing prices in favour of rewarding ones. Trading strategies are formulated in a probabilistic framework in order to address asymmetry in balancing prices. The large-scale communication of system information characteristic of modern power systems is utilised to inputs for electricity price forecasts and probabilistic system length forecasts. A case study using data from the GB market in the UK is presented and the ability of the proposed strategies to increase revenue and reduce risk is demonstrated and analysed.
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中文摘要：
由于风力发电和其他随机发电的可预测性有限，在竞争激烈的电力市场中交易这种能源具有挑战性。本文推导了随机发电商在单一价格平衡机制下参与电力市场的收益最大化和风险约束策略。从提供零功率或名义功率的最佳且不切实际的策略（这会使参与者面临潜在的巨大不平衡成本）开始，我们制定了一系列策略，通过对冲惩罚平衡价格而有利于奖励价格来控制风险。交易策略是在概率框架下制定的，以解决平衡价格的不对称性。现代电力系统的系统信息特征的大规模通信被用来输入电价预测和概率系统长度预测。本文介绍了一个使用英国GB市场数据的案例研究，并对拟议战略增加收入和降低风险的能力进行了论证和分析。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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