simulation colombian firm energy market

8/17/2019 Simulation Colombian Firm Energy Market

1/41

1

Simulation of the Colombian

Firm Energy Market

Peter Cramton

(joint with Steven Stoft and Jeffrey Wet!1" #e$ember %&&'


2/41

%

Puroe

) *e ulier rik

) Conider variation of market deign

) Evaluate alternative au$tion arameter


3/41

+

Simulation of market

) Model 1 , -itori$al ri$e

, Simulated unit

) Model % , -itori$al ri$e and outut

, *$tual unit

) Model + , Full imulation of au$tion and invetment

de$iion


4/41

.

Model +


5/41

/

Model +Full imulation of au$tion and invetment

) Can ak new 0uetion

, -ow doe a$0uired firm energy differ fromfirm energy target

, What i the ima$t of in$reaing the loe ofthe demand $urve around the target

, What i the ima$t of demand reone

, What i the ima$t of higher $ar$ity ri$e


6/41

'

2ey feature of Model +

) 3hree roje$t tye , baeload4 eaker4 hydro

) Stationarity

, 5andom growth with mean +67year , Proje$t i8e $ale u with growth , *ll amount in real 9S: , S$ar$ity ri$e ; :1&&7MWh

) #uration , /& %&


7/41

=

E>iting reour$e

?ew reour$e drawn fromditribution of e>iting reour$e


8/41

"

5eour$e $hara$teriti$

) -ourly availability not modeled for eaker andbaeload

) -ydro energy outut from @M imulation

) Interpreting the numbers , Exact values, such as FE price, no important , Rather focus on changes in values and variation in

values


9/41

A

Suly and ri$e determinationin ot energy market

) 9nit bid marginal $ot(oortunity $ot for hydro!

) #iat$h i effi$ient in ea$h hour

) -ydro oortunity $ot $al$ulated on amonthly bai

) #emand reone at ri$e above :1&&

, Contant elati$ity of


10/41

1&

Monthly hydro oortunity $ot

ShortageB MC- MCPEnergy ri$e ; MCD or MCP or MC-


11/41

11


Hydro Opportunity Cost, MC -4

in a somewhat dry month

SupplyMC -

EB

EP

EH

MC P

MC D

Demand

Somewhat dryB MC- ; MCPEnergy ri$e ; MCD or MCP


12/41

1%


Hydro Opportunity Cost, MC -4

in a normal month

SupplyMC -

EB

EP

EH

MC P

MC D

Demand

?ormal waterB MC- ; MCDEnergy ri$e ; MCD in all hour


13/41

1+


Hydro Opportunity Cost,MC

-4

in a wet month

SupplyMC -

EB

EP

EH

MC P

MC D

Demand

ot of waterB MC- ; :&

Energy ri$e ; & in all hour


14/41

1.

bligation

) -ydro ell ma>imum firm energyreolution &=1

) Daeload and eaker ell long


15/41

1/

Didding in firm energy au$tion

) Did are $ometitive , 9nit on margin e>e$t to break even

) 9nitH rofit deend on reour$e mi>

) Cal$ulate bid a a fun$tion of reour$e mi>

) #etermine winning tye a a fun$tion ofmi>

, *dd unit in e0uen$e until Suly 3arget , 5eje$t lat unit if total $ot i le with

Suly I 3arget


16/41

1'

Model outut

) Ea$h imulation year4 determine entry

) E>amine e0uen$e of entry4 urlu over target

) Ea$h imulation year4 $omute $omonent of

rofit for ea$h unit) 9nit aigned to one of ten $omanie to

reerve e>iting market tru$ture

) E>amine ditribution of annual rofit , n aggregate (indutry rofit!

, Dy unit tye

, Dy $omany


17/41

1=

S$enario

) Ea$h $enario take about %B/ day to runthrough 1&&& year (/& %&


18/41

1"

S$enario %KChange demand $urve

Pri$e of firm energy

Firm energy3arget

C?E

% C?E

C?E ; Cot of ?ew Entry (marginal unit!

&

½ C?E

Pri$e $eiling

Pri$e floor

± .6

oad not fully hedged

± %6

Stee FE demand$urve


19/41

1A

S$enario +K -igh demand reone

-ighdemandreone


20/41

%&

Mot rofitable tye given mi>


21/41

%1

?ew entry by year and unit tye(ben$hmark!

0 500 1000 1500 2000 2500 3000 3500 4000 4500 5000 5500 6000 6500 7000

SUM(FE)

1

2

3

4

5

6

7

8

910

11

12

13

14

15

16

17

18

19

20

21

22

23

24

25

unittype

B

H

P

yearadded

20

19

18

17

16

15

14

13

12

11

10

9

8

7

6

5

4

3

2

1


22/41

%%

?umber of entrie by year and tye


23/41

%+

?umber of entrie er year


24/41

%.

Firm energy and outut hare

) Mi> of lant doe not vary with

, Steene of FE demand $urve , #emand reone


25/41

%/

Pri$e4 $ar$ity4 and uly

) Steeer FE demand $urve reult in , Lreater urlu above target

, Fewer $ar$ity hour) -igher demand reone imlie mu$h

lower ot ri$e in $ar$ity hour

E l d FE i


26/41

%'

E>$e uly and FE ri$e

S it h d it i


27/41

%=

S$ar$ity hour and $ar$ity ri$e


28/41

%"

Fre0uen$y of

$ar$ity month in year

Firm energ ri$e


29/41

%A

Firm energy ri$e1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50

8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8

B e n c h m a r k

S t e e p F E e m a n

0!0

0!5

1!0

1!5

2!0

2!5

3!0

3!5

4!0

" # $ ( F % r m E n e r & ' P r % c e )

0!0

0!5

1!0

1!5

2!0

2!5

3!0

3!5

4!0

" # $ ( F % r m E n e

r & ' P r % c e )

"era&e * F% rm Ener&' Pr%ce *r each 'ear +rken ,n +' - %m -! .a-e! /he %e, %- tere n .a-e ,h%ch keep- Benchmark an Steep FE eman!

$$aional dro $aued by large lum followed by year of urluB *doted reolution avoid thi roblemB

FE ri$e in urlu year ; FE ri$e in lat u$$eful au$tionB

E i


30/41

+&

Energy ri$e1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50

8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8

B e n c h m

a r k


H % & h e m a n r e - p n - e

0

100

200

300

400

" # $ ( E n e r &

' P r % c e )

0

100

200

300

400

" # $ ( E n e r & ' P r % c e )

0

100

200

300

400

" # $ ( E n e r & ' P r % c e )

"era&e * Ener&' Pr%ce *r each 'ear +rken ,n +' -%m -! .a-e!

-igh demand reone greatly redu$e ike

P fit MWh f fi


31/41

+1

Profit er MWh of firm energy1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50

8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8

B e n c h m a

r k


H % & h e m a n r e - p n - e

5

0

5

10

S U M ( p r *

% t )

5

0

5

10

S U M ( p r * % t )

5

0

5

10

S U M ( p r * % t )

Sm * prt *r each 'ear +rken ,n +' -%m -! .a-e!

#itribution of annual rofit


32/41

+%

#itribution of annual rofiter MWh of firm energy

) Did do not take lum into a$$ount , Surlue $aue dro in firm energy ri$e and lower

energy rent , -en$e lightly negative rofit

) -edge dramati$ally redu$e rik

)Energy rent rimary our$e of rik

#itribution of annual rofit


33/41

++

#itribution of annual rofiter MWh of firm energy

) ma$t of higher $ar$ity ri$e

, Profit ditribution hift toward no hedge $ae) arge in$reae in energy rent rik

) Small de$reae in hedge ayment rik

) arge in$reae in rofit rik overall

P fit b it t (b h k!


34/41

+.

Profit by unit tye (ben$hmark!1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

4 1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6 4

1 0

1 6

B

H

P

10

5

0

5

10

15

20

S U M ( p r

* % t )

10

5

0

5

10

15

20

S U M ( p r

* % t )

10

5

0

5

10

15

20

S U M ( p r

* % t )

Sm )* pr)t *)r each 'ear +r)ken ),n +' -%m (-! n%tt'pe *)r Benchmark! /he (%e, %- tere )n -%m ,h%ch keep- 20 mem+er-!

Peaker i lowet rikB

Daeload i highet rikB

-ydro ha moderate rikB


35/41

+/

*nnual rofit by unit tye

Profit by $omany (ben$hmark!


36/41

+'

Profit by $omany (ben$hmark!1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 17 6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 16

1

2

3

4

5

6

7

8

9

1 0

20

0

20

40

S U M ( p r * % t )

20

0

20

40

S U

M ( p r * % t )

20

0

20

40

S U M ( p r * % t )

20

0

20

40

S U M ( p r * % t )

20

0

20

40

S U M ( p r

* % t )

20

0

20

40

S U M ( p r * % t )

20

0

20

40

S U M ( p r * % t )

20

0

20

40

S U M ( p r * % t )

20

0

20

40

S U M ( p r * % t )

20

0

20

40

S U M ( p r * % t )

Sm* prt *r each 'ear +rken ,n +' -%m -! ,ner% * r Benchmark! /he %e, %- tere n - %m ,h%ch keep- 20 mem+er-!

P fit b (b h k!


37/41

+=

Profit by $omany (ben$hmark!

P fit b ( t FE d d!


38/41

+"

Profit by $omany (tee FE demand!

P fit b (hi h d d !


39/41

+A

Profit by $omany (high demand reone!


40/41

.&

Con$luion


41/41

Con$luion

) -edge remarkably u$$eful in redu$ing rik , ndutry rik redu$ed by a fa$tor of =

, Comany rik redu$ed by a fa$tor of .B/ in ben$hmark

) -igher $ar$ity ri$e in$reae ulier rik) um $an $aue multi

simulation colombian firm energy market

Documents