Istituto di Scienza e Tecnologie dell'Informazione     
Chen Q., Chenchi L., Kuruoglu E. E., Yan Z. Alpha-stable statistical modeling and application of marginal price in electricity market. In: CICED - China International Conference on Electricity Distribution (Guangzhou, China, 10-13 December 2008). Proceedings, pp. 1 - 7. CICED (ed.). Chinese Society for Electrical Engineering, 2008.
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 α -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 α -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.
URL: http://www.ciced2008.org.cn/English/index.htm
Subject Pricing
Electricity prices
Alpha-stable distirbutions
J.4 Social and Behavioral Sciences. Economics
G.3 Probability and Statistics. Time series analysis

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