Research On Risk Management Of Power Price Based On Fractual And Finance Theory

Facing the prediction and risk management of power price fluctuation, this paper first studies them in financial method and then uses fractal theory to solve power price fluctuation problem in power market.Firstly, in order to solve financial risk in a bilateral electricity market ,this paper builds the arbitrary model of a bilateral electricity market and ower excharger can control price easily using the arbitrary model At the same time the model can also solve price shaking which is ascribed to the sealed-bid auction ,restrain the power price's increasing and is very useful to build a stable electricity market.Furthermore, as there are efficient market assumption and many artificial assumptions when analyzing and predicting power fluctuation using normal financial tools, this doesn't confirm to the reality of power fluctuation. The paper applies the R/S method in fractal thoery in the power market, makes empirical analysis on the simple fractal characters of power price in PJM and California market and finds the simple fractal characters of power price. It can find the inner law of power fluctuation and obtains more actual and reasonable results.It provides a new method for further quantitive model-constructing analysis and predicting the trend of some variables.After that, as we further study fractal thoery, we find that simple fractal dimension has some drawbacks.So we have to use multi-fractal to analyze partial structure of power price and find the power market has characters of multi-fractal. This method can make up for the shortcomings of simple fractal dimension. This paper describe the inner complex mechanism of power price in power market with quantitative methods and an index of risk measure based on multi-fractal spectrum is constructed. The calculation results show that the multi-fractal spectrum can truly reflect essence of fluctuation of power price .The method is helpful for administrators to make effective market regulations to operate risk management.In the last chapter,the results of this paper are summarized and the further work is presented...