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An electricity price model with consideration to load and gas price effects

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Abstract

Some characteristics of the electricity load and prices are studied, and the relationship between electricity prices and gas (fuel) prices is analyzed in this paper. Because electricity prices are strongly dependent on load and gas prices, the authors constructed a model for electricity prices based on the effects of these two factors; and used the Geometric Mean Reversion Brownian Motion (GMRBM) model to describe the electricity load process, and a Geometric Brownian Motion (GBM) model to describe the gas prices; deduced the price stochastic process model based on the above load model and gas price model. This paper also presents methods for parameters estimation, and proposes some methods to solve the model.

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Authors and Affiliations

  1. College of Electrical Engineering, Zhejiang University, 310027, Hangzhou, China

    Huang Min-xiang, Tao Xiao-hu & Han Zhen-xiang

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  1. Huang Min-xiang
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  2. Tao Xiao-hu
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  3. Han Zhen-xiang
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Correspondence to Huang Min-xiang.

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Min-xiang, H., Xiao-hu, T. & Zhen-xiang, H. An electricity price model with consideration to load and gas price effects. J. Zheijang Univ.-Sci. 4, 666–671 (2003). https://doi.org/10.1631/BF02851607

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  • DOI: https://doi.org/10.1631/BF02851607

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