A Strategy for a Generator to Participate in the Colombian Electricity Market
Main Article Content
Keywords
Price forecasting, neural networks, portfolio optimization, Markowitz model, electricity derivatives.
Abstract
This paper presents a strategy for a generator to participate and to mitigate the risk effect of price volatility in the Colombian wholesale electricity market. The strategy is used to optimize the generator participation in the long-term market (bilateral market) and the spot market. Additionally, the strategy mitigates the risk of price exposure in the sport market using electricity forward contracts. Numerical results shows that the proposed methodology is more efficient than classical optimization models since this proposal considers the intrinsic price volatility of the long-term and spot markets.
MSC:46N10, 91G10, 68T05
PACS:89.65.Gh, 07.05.Mh
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References
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[2] F. Villada, D. Cadavid, and J. D. Molina, “Pronóstico del precio de la energía eléctrica usando redes neuronales artificiales,” Revista Facultad de Ingeniería Universidad de Antioquia, vol. 44, pp. 111–118, Jun. 2008.
[3] D. Singhal and K. S. Swarup, “Electricity price forecasting using neural networks,” Electrical Power and Energy Systems,vol. 33, no. 3, pp. 550–555, Mar. 2011.[Online]. Available:http://dx.doi.org/10.1016/j.ijepes.2010.12.009
[4] J. D. Velásquez, I. Dyner, and R. Castro, “¿Por qué es tan difícil obtene rbuenos pronósticos de los precios de electricidad en mercados competitivos?”Cuadernos de Administración Bogotá, vol. 20, no. 34, pp. 259–282, 2007. [Online]. Available: http://www.redalyc.org/articulo.oa?id=20503412
[5] F. D. Freitas, A. F. de Souza, and A. R. de Almeida, “Prediction-based portfolio optimization model using neural networks,” Neurocomputing, vol. 72,pp. 2155–2170, Jun. 2009.
[6] F. D. Freitas, A. R. de Almeida, and A. F. de Souza, “A prediction-basedportfolio optimization model,” in Fifth International Symposium On Roboticsand Automation - ISRA 2006, Hidalgo México, 2006, pp. 520–525.
[7] Y. Cao, H. He, and R. Chandramouli, “A novel portfolio optimization method for foreign currency Investment,” in Proc. Int. Joint Conf. on Neural Networks (IJCNN’09). Atlanta, GA: IEEE, 2009, pp. 435–439. [Online]. Available: http://dx.doi.org/10.1109/IJCNN.2009.5178876,
[8] O. Ustunand and R. Kasimbeyli, “Combined forecasts in portfolio optimization:A generalized approach,” Computer & Operations Research, vol. 39,no. 4, pp. 805–819, 2012. 196
[9] M. Liu and F. F. Wu, “Portfolio optimization in electricity markets,” Electric Power System Research, vol. 77, no. 8, pp. 1000–1009, Jun. 2007.
[10] C. H. Wang and K. J. Min, “Short-term electric power trading strategies for portfolio optimization,” The Engineering Economist, vol. 53, no. 4, pp.365–379, 2008.
[11] M. F. de Oliveira, G. A. B. Arfux, and R. C. G. Teive, “RiskManagement in the commercialization activity in Brazil - An approach byusing Markowitz,” in Transmission & Distribution Conf. and Exp.: LatinAmerica (TDC’06). Caracas: IEEE, 2006, pp. 1–6. [Online]. Available:http://dx.doi.org/10.1109/TDCLA.2006.311411
[12] R. Bjorgan, C. C. Liu, and J. Lawarrée, “Financial risk managementin a competitive electricity market,” IEEE Transactions on PowerSystems, vol. 14, no. 4, pp. 1285–1291, Nov. 1999. [Online]. Available:http://dx.doi.org/10.1109/59.801886
[13] R. A. Collins, “The economics of electricity hedging and proposedmodification for the futures contracts for electricity,” IEEE Transaction onPower Systems, vol. 17, no. 1, pp. 100–107, Feb. 2002. [Online]. Available:http://dx.doi.org/10.1109/59.982199
[14] E. Tanlapco, J. Lawarrée, and C. C. Liu, “Hedging with futures contractsin a deregulated electricity industry,” IEEE Transaction on Power Systems,vol. 17, no. 3, pp. 577–582, 2002.
[15] R. Dahlgren, C. C. Liu, and J. Lawarree, “Risk assessment in energy trading,”IEEE Transaction on Power Systems, vol. 18, no. 2, pp. 503–511, May 2003.[Online]. Available: http://dx.doi.org/10.1109/TPWRS.2003.810685
[16] J. D. Arias, D. F. Cardona, and H. Salazar, “Contract price of a bilateralcontract using risk assessment: with application to Colombian wholesale electricitymarket,” in 2010 IEEE ANDESCON. Bogotá: IEEE, Sep. 2010, pp. 1–5. [Online]. Available: http://dx.doi.org/10.1109/ANDESCON.2010.5633381
[17] N. P. Yu, A. Somani, and L. Tesfatsion, “Financial risk management inrestructured wholesale power markets: Concepts and tools,” in 2010 IEEE Power and Energy Society General Meeting. Minneapolis: IEEE, 2010, pp.1–8. [Online]. Available: http://dx.doi.org/10.1109/PES.2010.5589886
[18] M. T. Hagan, H. B. Demuth, and M. H. Beale, Neural Network Design. PWSPublishing, 1996.
[19] M. H. Beale, M. T. Hagan, and H. B. Demuth, Neural Network Toolbox User’sGuide R2012b. The MathWorks, Inc, 2012.
[20] H. Markowitz, “Portfolio selection,” The Journal of Finance, vol. 7, no. 1,pp. 77–91, Mar. 1952.
[21] D. G. Luenberger, Investment Science. New York Oxford: Oxford University Press, 1998.
[22] J. C. Hull, Options, Futures and other Derivatives, 6th ed. New Jersey: Prentice Hall, 2005.
[23] XM Compañía de Expertos en Mercados S.A. E.S.P. (2014) Precio Bolsa.[Online]. Available: http://goo.gl/RMYszr
[24] Derivex. Contrato futuro de energía eléctrica mensual. [Online]. Available:http://goo.gl/DexWPM
[25] ——. Mercado de derivados de commodities energéticos Derivex. Informaciónhistórica de precios. [Online]. Available: http://goo.gl/39XrgP