Risk Analysis on Large Consumer's Multi-phase Power Purchasing Portfolio Based on Higher Moments Volatility Characteristics

During direct power purchasing, large consumers need synthetically consider the balance between risk and profit, and purchase power among multi-markets and during multi-phases. In the short-term market, electricity price usually have such characteristics as strong volatility with excess kurtosis and heavy-tail. In this paper, the time-varying characteristics of second, third and fourth moments of spot price are considered, and Roulette simulate method is proposed by using the ARIMA-GJRSK model to fit spot price series. Then, as to day-ahead market and spot market, an optimal direct purchasing portfolio model is built with such objectives as the maximizing expected profit and minimizing multi-phase coherent risk measurement index. Calculation result shows that multi-phase power purchasing portfolio strategy is better than single-phase successive decision-making scheme, and proposed model provides reference for large consumers' power purchasing decision-making and its risk measurement.