| 引用本文: | 王 访,尚金成.基于多重分形理论的电力交易价格分时段特征分析[J].电力自动化设备,2013,33(1): |
| WANG Fang,SHANG Jincheng.Characteristic analysis of period electricity price based on multifractal theory[J].Electric Power Automation Equipment,2013,33(1): |
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| 摘要: |
| 利用多重分形理论中的标准多重分形分析、仿多重分形分析、多重分形去趋势波动分析3种方法对PJM 2001年和加州2000年电力市场的峰谷时段进行了研究。通过计算电价的各种分形参数，证实了电价的多重分形特征，并揭示了不同市场不同时段分形特征的差异。研究表明：PJM市场高峰时段的分形谱比低谷时段的更宽，加州市场则刚好相反；2个市场都表现出较强的长程相关性，不过与PJM市场不同的是，加州市场的低谷时段比高峰时段表现出更强的反持久性，但滤去局部趋势后，加州市场并没有经历非持久性阶段。这些差异真实地反映了它们不同的电价特点。 |
| 关键词: 电力系统 市场 价格 分时段 多重分形分析 仿多重分形分析 多重分形去趋势波动分析 |
| DOI： |
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| 基金项目:国家自然科学基金资助项目（31073128） |
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| Characteristic analysis of period electricity price based on multifractal theory |
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WANG Fang1, SHANG Jincheng2
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1.College of Science，Hunan Agricultural University，Changsha 410128，China;2.Henan Power Grid Exchange Center，Zhengzhou 450052，China
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| Abstract: |
| Three kinds of multifractal method－standard multifractal analysis，analogous multifractal analysis and multifractal detrended fluctuation analysis－are applied in the study of low and peak price periods for PJM 2001 electricity market and California 2000 electricity market. The calculation of various multifractal parameters shows that，the electricity price has multifractal characteristics and there are discrepancies in multifractal characteristics among different markets and different periods. The multifractal spectrum of peak-period price of PJM electricity market is wider than that of low-period price，being opposite to California electricity market. Both electricity markets show strong long-term correlation in price，but，in contrast to PJM electricity market，California electricity market has more anti-persistence in low-period than in peak-period. However，California electricity market has no non-persistent stage after the local trend is filtered out. These discrepancies reflect truly the differences between their price characteristics. |
| Key words: electric power systems market price sub-period multifractal analysis analogous multifractal analysis multifractal detrended fluctuation analysis |
