Liquidity risks on power exchanges: a generalized Nash equilibrium model

• 成果类型: Article
• 署名作者: d'Aertrycke, Gauthier de Maere; Smeers, Yves
• 署名单位: Fondazione Mattei; Centro Euro-Mediterraneo sui Cambiamenti Climatici (CMCC); Engie; Universite Catholique Louvain
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-013-0694-4
• 发表日期: 2013
• 页码: 381-414
• 关键词: financial transmission rights; market power; electricity; networks; auctions

摘要

The extreme volatility of electricity prices makes their financial derivatives important instruments for asset managers. Even if the volume of derivative contracts traded on Power Exchanges has been growing since the inception of the restructuring of the sector, electricity remains considerably less liquid than other commodity markets. This paper assesses the effect of limited liquidity in power exchanges using an equilibrium model where agents cannot hedge up to their desired level. Mathematically, the problem is formulated as a two stage stochastic Generalized Nash Equilibrium with possibly multiple equilibria. Computing a large panel of solutions, we show how the risk premium and players profits are affected by illiquidity. We also show that the illiquidity in the FTR market affects the trades in the electricity futures market.