Research on Hedging Ratio of Power Futures Based on 0LS Model

2019 5th International Conference on Energy Materials and Environment Engineering

能源学;生态环境科学

Yang, Jie^1 ; Xu, Tianqi^1 ; Li, Yan^1 ; Ying, Feixiang^1 ; Zhang, Hongtao^1

School of Electrical and Information Engineering, Yunnan Minzu University, Kunming, YUNNAN

650500, China^1

关键词: Electricity futures;    Electricity prices;    Energy trading;    European energy exchanges;    Hedging strategies;    Power market reform;    Power producer;    Residual test;   

Others  :  https://iopscience.iop.org/article/10.1088/1755-1315/295/4/042127/pdf
DOI  :  10.1088/1755-1315/295/4/042127

学科分类：环境科学（综合）

来源: IOP

【 摘 要 】

With the further development of power market reform, the demand for energy trading entities to avoid the risk of electricity price is becoming more and more prominent. This paper uses the method of minimizing the variance of the portfolio return rate combined with the electricity futures price data from the European Energy Exchange to estimate the optimal hedging ratio and perform the residual test. Finally, the decision of power producers to use the power futures hedging strategy to avoid the risk of spot price fluctuations will be discussed.