本文從電力供需的觀點出發，藉由參閱前人針對電力供需所建立之電力價格模型，並經由分析美國PJM電力市場其兩子市場各自不同的交易型態:買賣隔天電力的前一日市場以及買賣當天電力的即時市場。我們認為前一日市場當天的電價理應取決於當天所預期的隔天電力供需量;而即時市場當天的電價則取決於當天實際電力供需量是否滿足前一天預期當天的電量，亦即在當天是否有缺額供給亦或是超額需求的狀況產生。故本文將以預期供需的手法，加以改進上述前人所建立之模型，進而對此兩子市場提出新的電力價格模型。此外，經由分析此兩子市場的實際電力價格資料發現其兩方的電力價格趨勢相當穩和並且具有正的線性相關。藉此，本文又對此現象建立了以前一日市場電力價格預測即時市場電力價格的迴歸模型。此後，本文將以上所建立之模型以美國PJM電力市場其兩子市場實際電力價格資料進行實例分析，並針對最後能夠有效反應實際電力價格趨勢之模型，在給定信心水準下，去描繪出此些模型的逐點(本文以一天為單位)預測區間，藉此查看此些模型是否具有良好的逐點預測能力。This article proposes new models for the electricity price processes in each of the two sub-markets in the PJM electricity market: the day-ahead market that trades the power of the next day, and the real-time market that trades on spot. By analyzing the price movement, we believe that today's price of the day-ahead market should dependent on the expected power capacity and demand of tomorrow, and today's price of the real-time market should dependent on whether the previous expectation matches the actual supply and demand. The models are further supported by empirical studies, which shows that our model not only fits the real data, but also present good point-wise forecasting ability.
