Stochastic pricing model for the iberian power market

Abstract

La presente tesis estudia diferentes procedimientos para determinar previsiones de precios de mercados eléctricos y trata de ofrecer un modelo estocástico de determinación de precios con aplicación al mercado ibérico de electricidad así como a otros mercados tras la realización de determinados ajustes. En primer lugar el proyecto examina otros trabajos realizados con el fin de llevar a cabo previsiones de precio, examinando las diferentes metodologías y consideraciones y analizando su fortaleza así como los factores menos importantes. A continuación se examinarán los modelos actuales empleados en la presente tesis. El previamente mencionado modelo estocástico para la previsión de precios en el mercado ibérico de electricidad se ha conseguido tras haber desarrollado en primer lugar un modelo simple determinista que ha permitido examinar varios escenarios (independientes) al mismo tiempo hasta conseguir la forma estocástica, bajo la cual a cada escenario le acompaña una valor de probabilidad. Adicionalmente se desarrollo un modelo de compañía simplificado para examinar el efecto de los modelos previamente mencionados en compañías eléctricas que poseen plantas de generación térmicas y que operan en el mismo mercado. Se crearon tres compañías representativas dueñas de plantas de carbón, nucleares y ciclos combinados con el fin de analizar la energía producida e ingresos bajo una representación determinística y estocástica. En ultimo lugar, se han propuesto ideas de mejoras y futuros trabajos del presente

The current thesis project studies the price forecasting procedures used nowadays by the electricity market and try to contribute by providing a stochastic pricing model that can be used for the Iberian power market as well as other power markets after certain adjustments. At first the project examines the past work that has been done in the field of pricing models, examining their different methodologies and assumptions and analyzing their strong as well as their less important points. Then the actual models used in this thesis projects are examined. The above mentioned study of the Iberian power market through a stochastic model was achieved by initially creating a simple deterministic pricing model, that level evolved into being able to examine multiple deterministic (independent) scenarios at the same time and finally reached its stochastic form, in which each scenario is accompanied by a corresponding probability and results were found examining different cases. Additionally, a simplified company representation was created in order to examine the effect of the above mentioned models in companies that own different thermal generation assets and operate at the same market. In that respect, three representative companies were created, owners of nuclear, coal and CCGT plants, and their incomes and productions were examined both for the multiple deterministic and the stochastic representation. Finally, ideas and suggestions for future improvements and expansions of the model are provided, in order to cover possible weaknesses and make it produce even more accurate and realistic results.