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ZJUS-A
Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering)  2003, Vol. 4 Issue (6): 666-671    DOI: 10.1631/jzus.2003.0666
Electronics & Information Technology     
An electricity price model with consideration to load and gas price effects
HUANG Min-xiang, TAO Xiao-hu, HAN Zhen-xiang
College of Electrical Engineering, Zhejiang University, Hangzhou 310027, China
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Abstract  Some characteristics of the electricity load and prices are studied, and the relationship between electricity prices and gas (fuel) prices is analyzed in this paper. Because electricity prices are strongly dependent on load and gas prices, the authors constructed a model for electricity prices based on the effects of these two factors; and used the Geometric Mean Reversion Brownian Motion (GMRBM) model to describe the electricity load process, and a Geometric Brownian Motion (GBM) model to describe the gas prices; deduced the price stochastic process model based on the above load model and gas price model. This paper also presents methods for parameters estimation, and proposes some methods to solve the model.

Key words： Electricity market      Stochastic process      Electricity price      Gas     
Received: 10 May 2002     
CLC:  TM73  
  F123.9  
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TAO Xiao-hu
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HUANG Min-xiang, TAO Xiao-hu, HAN Zhen-xiang. An electricity price model with consideration to load and gas price effects. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2003, 4(6): 666-671.

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http://www.zjujournals.com/xueshu/zjus-a/10.1631/jzus.2003.0666     OR     http://www.zjujournals.com/xueshu/zjus-a/Y2003/V4/I6/666

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