Simulation Analysis of the Impact of Electricity Futures on Electricity Spot Market under the Background of Carbon Neutrality

doi:10.12204/j.issn.1000-7229.2022.05.001

Abstract

Abstract:

With the further development of China’s electricity market’s reform, the marketization brings price risk to the market participants. Moreover, under China’s Carbon Neutrality strategy, the electricity market participants will face not only the traditional risk, but also the carbon risk. As an important tool for risk management, electricity futures are widely used in many mature electricity markets and have attracted attention from the market participants in China. To quantitatively analyze the impact of introducing electricity futures on the spot market, this paper proposes a bi-level electricity simulation model. The first level models the transaction behavior of electricity futures, and the second level models the optimal bidding strategy of generation companies under the market with power futures. Numerical experiments simulate a six-unit power market environment with two different contract signing methods. The simulation results show that the introduction of electricity futures can help the spot market to balance the price in both peak and valley period, thus helping the electricity market in both scenarios.

Key words: electricity market, electricity futures, optimal bidding strategy, low-carbon transition, market simulation

CLC Number:

TM76

LENG Yuan, GU Weide, HE Binghao, LIU Wenxuan, ZHAO Junhua. Simulation Analysis of the Impact of Electricity Futures on Electricity Spot Market under the Background of Carbon Neutrality[J]. ELECTRIC POWER CONSTRUCTION, 2022, 43(5): 1-8.

Figures/Tables 7

Table 1 Data of generation companies

Fig.1 Trend of spot price under futures with equal shares

Fig.2 Monthly average spot price under futures with equal shares

Table 2 The ratio of monthly average spot price increase under futures with equal shares

Fig.3 Trend of spot price under futures with corresponding shares

Fig.4 Monthly average spot price under futures with corresponding shares

Table 3 The ratio of monthly average spot price increase under futures with corresponding shares

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