论文标题
分散市场中存储的风险自我安排
Risk-Averse Self-Scheduling of Storage in Decentralized Markets
论文作者
论文摘要
预计存储将是低碳网格中的关键来源。从前柱评估中提出的一个普遍关注的问题是，在稀缺时期，存储资源可能无法响应强劲的价格信号。尽管通常归因于操作中的预测错误或失败，但我们认为可以从规避风险调度的角度来解释这种行为。使用从澳大利亚国家电力市场收获的随机自我制定框架和现实世界中的数据，我们证明，规避风险的存储资源倾向于具有近视的运营角度，也就是说，它们通常会近期的价格套利，并且追逐很少的极端价格高价和杂货店，因此在几个时期内的价格差不多，因此在几个时期内却差不多。鉴于单位风险规避和干预决策的明显风险的不透明性，这具有重要的政策影响。
Storage is expected to be a critical source of firming in low-carbon grids. A common concern raised from ex-post assessments is that storage resources can fail to respond to strong price signals during times of scarcity. While commonly attributed to forecast error or failures in operations, we posit that this behavior can be explained from the perspective of risk-averse scheduling. Using a stochastic self-scheduling framework and real-world data harvested from the Australian National Electricity Market, we demonstrate that risk-averse storage resources tend to have a myopic operational perspective, that is, they typically engage in near-term price arbitrage and chase only few extreme price spikes and troughs, thus remaining idle in several time periods with markedly high and low prices. This has important policy implications given the non-transparency of unit risk aversion and apparent risk in intervention decision-making.
