Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.22/1483
Título: A long-term swarm intelligence hedging tool applied to electricity markets
Autor: Azevedo, Filipe
Vale, Zita
Palavras-chave: Electricity markets
Particle swarm optimization
Genetic algorithm
Data: 2009
Resumo: This paper proposes a swarm intelligence long-term hedging tool to support electricity producers in competitive electricity markets. This tool investigates the long-term hedging opportunities available to electric power producers through the use of contracts with physical (spot and forward) and financial (options) settlement. To find the optimal portfolio the producer risk preference is stated by a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance estimation and the expected return are based on a forecasted scenario interval determined by a long-term price range forecast model, developed by the authors, whose explanation is outside the scope of this paper. The proposed tool makes use of Particle Swarm Optimization (PSO) and its performance has been evaluated by comparing it with a Genetic Algorithm (GA) based approach. To validate the risk management tool a case study, using real price historical data for mainland Spanish market, is presented to demonstrate the effectiveness of the proposed methodology.
URI: http://hdl.handle.net/10400.22/1483
Versão do Editor: http://www.aisb.org.uk/convention/aisb09/Proceedings/SIAAS09/FILES/AzevedoF.pdf
Aparece nas colecções:ISEP – GECAD – Comunicações em eventos científicos

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