| Title |
Empirical Approach to Price Modeling in Electricity Market based on Stochastic Process |
| Authors |
Dong-Joo Kang ; Bal-Ho Kim |
| DOI |
http://dx.doi.org/10.5207/JIEIE.2010.24.4.095 |
| Keywords |
Analytic Method ; Optimization ; Empirical Method ; Stochastic Process |
| Abstract |
As the electric power industry is evolving into competitive market scheme, a new paradigm is required for the operation of market. Traditional dispatch algorithm was built based on the optimization model with an objective function and multiple constraints. Commercial market simulator followed the concept of the microeconomic model used in the dispatch algorithm, which is called as analytic method. On analytic method it is prerequisite to procure the exact data for the simulation. It is not easy anymore for each market participant to access to other participants" financial information while it used to be easy for monopoly decision maker to know all the information needed for the optimal operation. Considering the changing situation, it is required to introduce a new method for estimating the market price. This paper proposes an empirical method based on stochastic processes expected to build a capacity planning and long term contracts. |