在跳躍擴散模型下觀察電價尖峰現象

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姓名

羅有呈(You-Cheng Luo) 查詢紙本館藏

畢業系所

統計研究所

論文名稱

在跳躍擴散模型下觀察電價尖峰現象
(Observed the Spike Phenomena of Electricity Price under Jump-Diffusion Model)

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摘要(中)

在儲存性金融商品中，當遇到現貨的供給和需求失衡時，還可以使用庫存量來減緩這突如其來的衝擊，使得價格的變動不會如此的劇烈。在本篇論文中，我們探討到一項很特別的能源衍伸性金融商品：電力現貨價格。由於電力現貨價格會因為短暫的供需失衡而受到衝擊，這情形會在價格軌跡裡造成尖峰的特別現象，而尖峰現象會對市場參與者產生巨大的損失。因此我們引用一個跳躍擴散模型來描述這個現象，其主要的目的在於在美國PJM 市場下，捕捉現貨電力價格的軌跡和統計量，並且討論此元件是否適用於電力現貨價格之下。

摘要(英)

In storable commodities, when we faced the supply and demand imbalance in the spot. The inventories could be slow down the unexpected impact, making the price changes would not be so intensely. In this paper, we explore a very
special energy derivatives: electricity spot price. As electricity would be impact because of the supply and demand imbalance shortly. This situation would cause
the special phenomena in the price trajectory, and the phenomena be called spike. The spike phenomena would have huge loss for market participants. Hence, we introduce a jump-diffusion model to describe the spikes phenomena. In PJM market, our model has main purpose that want to capture the trajectory and statistical properties. Last, the components are appropriate in electricity spot price.

關鍵字(中)

★ 跳躍擴散模型
★ 尖峰現象

關鍵字(英)

★ jump diffusion model
★ spike phenomena

論文目次

摘要 ................................................................................................................ I
ABSTRACT .................................................................................................. II
致謝辭 .......................................................................................................... III
目錄 ............................................................................................................... V
圖目錄 .......................................................................................................... VI
表目錄 ......................................................................................................... VII
第一章緒論 .................................................................................................. 1
第二章 PJM 市場 ......................................................................................... 3
2.1 PJM 系統 ............................................................................................ 3
2.2 市場參與者 ......................................................................................... 4
2.3 PJM 的現貨（SPOT）和遠期（FORWARD）市場 .............................. 5
第三章電力價格數據的主要特色 ................................................................ 8
第四章模型和參數估計 ............................................................................. 14
第五章實證分析 ....................................................................................... 22
第六章結論 .............................................................................................. 27
參考文獻 ...................................................................................................... 28

參考文獻

1. F.A. Longstaff and A.W. Wang. Electricity forward prices: a high-frequency
empirical analysis, J Finance 59 (4), pp. 1877–1900. 2004
2. M.T. Barlow. A diffusion model for electricity prices. Mathematical Finance
12, no. 4, pp. 287-298. 2002.
3. Stan Beckers. A note on estimating the parameters of the jump-diffusion
model of stock returns. Journal of Financial and Quantitative Analysis
16, pp. 127-140. 1981.
4. H. Geman and A. Roncoroni. Understanding the fine structure of electricity
prices, Journal of Business 79 (3) , pp. 1225–1262. 2006
5. Bessembinder, Hendrik, and Michael L. Lemmon. Equilibrium pricing and
optimal hedging in equilibrium electricity forward markets. Journal of
Finance 57, pp. 1347-1382. 2002.
6. R. Weron, M. Bierbrauer, S. Truck. Modeling electricity prices: jump
diffusion and regime switching. Physica A 336, pp. 39–48. 2004

指導教授

傅承德(Cheng-De Fu)

審核日期

2011-7-5

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