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

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4 Author(s)
Quan Chen ; Dept. of Electr. Eng., Shanghai Jiao Tong Univ., Shanghai, China ; Chenchi Luo ; Kuruoglu, E.E. ; Zheng Yan

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.

Published in:

Electricity Distribution, 2008. CICED 2008. China International Conference on

Date of Conference:

10-13 Dec. 2008