英文标题：
《Minimising the expectation value of the procurement cost in electricity
markets based on the prediction error of energy consumption》
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作者：
Naoya Yamaguchi, Maiya Hori, Yoshinari Ideguchi
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最新提交年份：
2018
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英文摘要：
In this paper, we formulate a method for minimising the expectation value of the procurement cost of electricity in two popular spot markets: {\\it day-ahead} and {\\it intra-day}, under the assumption that expectation value of unit prices and the distributions of prediction errors for the electricity demand traded in two markets are known. The expectation value of the total electricity cost is minimised over two parameters that change the amounts of electricity. Two parameters depend only on the expected unit prices of electricity and the distributions of prediction errors for the electricity demand traded in two markets. That is, even if we do not know the predictions for the electricity demand, we can determine the values of two parameters that minimise the expectation value of the procurement cost of electricity in two popular spot markets. We demonstrate numerically that the estimate of two parameters often results in a small variance of the total electricity cost, and illustrate the usefulness of the proposed procurement method through the analysis of actual data.
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中文摘要：
在本文中，我们提出了一种在两个热门现货市场{日前}和{日内}中最小化电力采购成本期望值的方法，前提是两个市场中交易的电力需求的单价期望值和预测误差分布已知。在改变电量的两个参数上，总电力成本的期望值最小化。两个参数仅取决于两个市场交易的电力需求的预期单价和预测误差分布。也就是说，即使我们不知道电力需求的预测，我们也可以确定两个参数的值，这两个参数可以最大限度地降低两个热门现货市场中电力采购成本的期望值。我们从数值上证明了两个参数的估计通常会导致总电力成本的小方差，并通过对实际数据的分析说明了所提出的采购方法的有用性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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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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