α-stable statistical modeling and application of marginal price in electricity market

• Published in: 2008 China International Conference on Electricity Distribution pp. 1 - 6
• Main Authors: Quan Chen, Chenchi Luo, Kuruoglu, E.E., Zheng Yan
• Format: Conference Proceeding
• Language: English
• Published: IEEE 01.12.2008
• Subjects: bidding strategy; Contracts; electricity market; Electricity supply industry; Marketing and sales; Power generation; Power markets; probabilistic model; Probability density function; Probability distribution; Risk analysis; Statistical distributions; Supply and demand; α-stable distribution model
• ISBN: 9781424433735; 1424433738; 9781424433711; 1424433711
• ISSN: 2161-7481; 2161-749X
• DOI: 10.1109/CICED.2008.5211727

In the electricity market, modeling marginal price facilitates to solve many problems in it. To model the probability density function (PDF) of system marginal price (SMP) in the spot market, positivism analysis on SMP PDF is presented in this paper. In contract to the weakness of some traditional probabilistic distribution model, an alpha-stable distribution model that proposed in this paper, has a better adaptation of skewness and heavy tail effect manifested by electricity prices with the theoretical support of generalized central limit theorem (GCLT). Based on this new model, an equal probability bidding strategy for generation companies is proposed in this paper. Finally, a numerical example applying the actual data from PJM electricity market, proves our deduction that alpha -stable distribution is more attractive, and the new bidding strategy not only increases the profit in selling electricity, but also decreases the risk in it.