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电力期货市场被视为降低电力市场风险的重要机制,但是电力期货市场本身却存在着意想不到的无效甚至失败。对此至今没有形成一致性的理论解释。本文把电力的不可储存性和电力期货交易的过程结合起来考虑,分析电力期货市场的波动性。运用不确定性下的最优决策原理,证明了电力的不可存储性对电力期货交易的影响,论述了其形成机制,分析了其运行结果。在常规的金融期货交易规则下,电力期货市场对现货市场的价格发现功能将因投机者退出而丧失。
Electricity futures market is regarded as an important mechanism to reduce the risk of the electricity market, but the electricity futures market itself has unexpectedly invalid or even failed. So far there is no consistent theoretical explanation. This paper considers the non-storable power and the process of electricity futures trading to analyze the volatility of the electricity futures market. By using the optimal decision principle under uncertainty, this paper proves the influence of non-storage of electricity on the futures trading, discusses its formation mechanism and analyzes its operation results. Under the normal rules of the financial futures trading, the price discovery function of the electricity futures market on the spot market will be lost due to the speculators’ withdrawal.