电力金融市场微观结构理论与实现路径研究
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摘要
电力金融市场是电力系统理论、经济学理论、优化理论、计算机与信息工程以及金融、证券市场等领域的理论与技术的结合体。由于各国、各地区电力工业所面临的经济环境、电力工业结构各不相同,电力金融市场发展到今天,尚没有形成一个放之四海而皆准的市场运营模式。本文首先就电力金融市场微观结构的三个关键理论问题展开深入的研究,包括：(1)电力金融市场微观结构与交易机制；(2)电力金融市场效率理论、效率模型与识别方法；(3)电力金融市场风险理论、市场风险预警模型与方法。在此基础上,分析电力金融市场各发展阶段必备的市场微观结构和边界条件,设计我国电力金融市场的实现路径。
本论文在归纳和分析国内外理论研究和实践成果的基础上,在电力金融市场设计的四个方面取得以下创新成果：
(1)借鉴电力市场理论、金融市场理论与市场微观结构理论,构建了电力金融市场设计理论与分析框架——电力金融市场微观结构理论。分别建立电力金融市场的集合竞价交易模型、连续竞价交易模型、做市商交易模型和信息对市场价格的影响分析模型,通过交易模型和信息影响非必须模型展现电力金融市场的运行机理。
(2)针对电力金融市场效率问题,提出了考虑交易成本的“定价效率与信息效率”二维效率模型与识别方法,并以北欧电力金融市场进行了实证研究。理论与方法部分主要是借鉴金融市场效率理论和经济学中交易成本理论,研究电力金融市场效率与交易成本理论,针对现有的市场效率理论忽略交易成本的缺陷,提出考虑交易成本的“定价效率与信息效率”二维效率模型与识别方法,并对北欧电力期货(日期货)进行了实证研究,为电力金融市场价格风险预警和市场设计提供了新的思路和参考。
(3)根据电力金融市场特点以及电力金融合约价格与电力现货价格之间的关系特性,提出点面结合的电力金融市场风险预警模型与方法,为电力金融市场风险预控提供一种思路。
(4)基于电力金融市场微观结构理论和我国实际,分析我国当前电力实物市场和有效的电力金融市场的微观结构,指出它们在市场微观结构上的差异,提出电力金融市场建设过程也是市场微观结构进化过程的观点；然后进一步分析电力金融市场各发展阶段必备的市场微观结构和边界条件,设计适合我国实际的电力金融市场微观结构进化与实现路径。
Financial market for electricity is the combination of theory and technology in the fields of power system, economics, optimization theory, computer and information engineering, finance and stock market. Different countries face different economic situations and electric power structures; therefore there has not been a universal marker operation pattern for electricity financial markets yet. At First, a systematically research about three key theoretical issues on electricity financial market's microstructure is made, including:(1) market microstructure and trading mechanism; (2) efficiency theory, efficiency model, as well as identification methods; (3) risk theory, market risk model and method of early-warning. Based on the studies above, the necessary market microstructure and boundary conditions for various development stages of electricity financial market are analyzed, and then the implementation path for financial markets of our electricity has been designed.
On the basis of summarizing and analyzing theoretical study and practical results domestically and abroad, four innovations are achieved as follows:
(1) Using theories of electricity market, financial market and market microstructure for reference, the theory of financial market microstructure for electricity has been built, which is the design theory and analysis framework for this market. The trading models, which is of call auction trading, continuous auction trading, market maker trading, as well as information on the impact of price, are established respectively. These models would show the operation mechanism of electricity financial market.
(2) To the market efficiency issue, the two-dimensional model and identification method "pricing efficiency and information efficiency" has been proposed, which is considered with trading price. Hereafter, Nordic electricity financial market is made as an example for empirical study. The theory and methods sections have been focused on market efficiency theory and transaction cost theory, which use financial market efficiency theory and transaction cost theory of economics for reference. As to the flaws of existing market efficiency theory that ignores transaction cost, the two-dimensional model and identification method named pricing efficiency and information efficiency has been proposed, which is considered with trading price. In the empirical part, the research on Nordic electricity futures (day futures) has been carried out. New ideas about price risk warming and market design of financial markets for electricity are provided.
(3) According to the market characteristics as well as the relationship characteristics between contract price and spot market of electricity, the electricity financial market's risk early-warming model and method is proposed, which selected spots & area. The method has provided a kind of good idea for market risk management of electricity financial markets.
(4) Basing on microstructure theory of financial markets for electricity and the reality of China, the microstructures of current electricity market and effective electricity financial markets are analyzed, and then the differences of them are pointed out. Subsequently, the view that is market-building process is also the evolution process of market microstructure has been put forward. Then, further analyses on the necessary market microstructure and boundary conditions for various development stages of electricity financial market are made, the implementation path for financial markets of China's actual electricity has been designed finally.
本论文在归纳和分析国内外理论研究和实践成果的基础上,在电力金融市场设计的四个方面取得以下创新成果：
(1)借鉴电力市场理论、金融市场理论与市场微观结构理论,构建了电力金融市场设计理论与分析框架——电力金融市场微观结构理论。分别建立电力金融市场的集合竞价交易模型、连续竞价交易模型、做市商交易模型和信息对市场价格的影响分析模型,通过交易模型和信息影响非必须模型展现电力金融市场的运行机理。
(2)针对电力金融市场效率问题,提出了考虑交易成本的“定价效率与信息效率”二维效率模型与识别方法,并以北欧电力金融市场进行了实证研究。理论与方法部分主要是借鉴金融市场效率理论和经济学中交易成本理论,研究电力金融市场效率与交易成本理论,针对现有的市场效率理论忽略交易成本的缺陷,提出考虑交易成本的“定价效率与信息效率”二维效率模型与识别方法,并对北欧电力期货(日期货)进行了实证研究,为电力金融市场价格风险预警和市场设计提供了新的思路和参考。
(3)根据电力金融市场特点以及电力金融合约价格与电力现货价格之间的关系特性,提出点面结合的电力金融市场风险预警模型与方法,为电力金融市场风险预控提供一种思路。
(4)基于电力金融市场微观结构理论和我国实际,分析我国当前电力实物市场和有效的电力金融市场的微观结构,指出它们在市场微观结构上的差异,提出电力金融市场建设过程也是市场微观结构进化过程的观点；然后进一步分析电力金融市场各发展阶段必备的市场微观结构和边界条件,设计适合我国实际的电力金融市场微观结构进化与实现路径。
Financial market for electricity is the combination of theory and technology in the fields of power system, economics, optimization theory, computer and information engineering, finance and stock market. Different countries face different economic situations and electric power structures; therefore there has not been a universal marker operation pattern for electricity financial markets yet. At First, a systematically research about three key theoretical issues on electricity financial market's microstructure is made, including:(1) market microstructure and trading mechanism; (2) efficiency theory, efficiency model, as well as identification methods; (3) risk theory, market risk model and method of early-warning. Based on the studies above, the necessary market microstructure and boundary conditions for various development stages of electricity financial market are analyzed, and then the implementation path for financial markets of our electricity has been designed.
On the basis of summarizing and analyzing theoretical study and practical results domestically and abroad, four innovations are achieved as follows:
(1) Using theories of electricity market, financial market and market microstructure for reference, the theory of financial market microstructure for electricity has been built, which is the design theory and analysis framework for this market. The trading models, which is of call auction trading, continuous auction trading, market maker trading, as well as information on the impact of price, are established respectively. These models would show the operation mechanism of electricity financial market.
(2) To the market efficiency issue, the two-dimensional model and identification method "pricing efficiency and information efficiency" has been proposed, which is considered with trading price. Hereafter, Nordic electricity financial market is made as an example for empirical study. The theory and methods sections have been focused on market efficiency theory and transaction cost theory, which use financial market efficiency theory and transaction cost theory of economics for reference. As to the flaws of existing market efficiency theory that ignores transaction cost, the two-dimensional model and identification method named pricing efficiency and information efficiency has been proposed, which is considered with trading price. In the empirical part, the research on Nordic electricity futures (day futures) has been carried out. New ideas about price risk warming and market design of financial markets for electricity are provided.
(3) According to the market characteristics as well as the relationship characteristics between contract price and spot market of electricity, the electricity financial market's risk early-warming model and method is proposed, which selected spots & area. The method has provided a kind of good idea for market risk management of electricity financial markets.
(4) Basing on microstructure theory of financial markets for electricity and the reality of China, the microstructures of current electricity market and effective electricity financial markets are analyzed, and then the differences of them are pointed out. Subsequently, the view that is market-building process is also the evolution process of market microstructure has been put forward. Then, further analyses on the necessary market microstructure and boundary conditions for various development stages of electricity financial market are made, the implementation path for financial markets of China's actual electricity has been designed finally.
引文
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