Two Agent Model of Forward Electricity Prices in Brazil with Generalized Extended CVaR Preferences

Authors: Felipe Van de Sande Araujo, Cristina Spineti Luz, Leonardo Lima Gomes, Luiz Eduardo Teixeira Brandão The files provided here are the calculations for the paper with the same title. They are organized in the following way: Data - contain datasets of forecasted spot prices for electricity in SE/CO region of Brazil for the year 2020 or 2021, as well as estimated forward price for electricity for the same years. This data is loaded by the R scripts. Plots - contain the plots generated by these scripts. The main level contain the scripts that can be executed, provided the data is organized in the same structure as this repository. The sensitivity analysis uses an interactive plotly widget that can take a while to fully load. All code was developed for the article. Paper Abstract: Despite its continental size and integrated electrical system, Brazil does not have an exchange for trading forward and futures contracts for electricity. Thus, price information for long-term contracts is often obtained through market research and expert opinions. This article proposes a simple yet efficient approach to estimate the forward price of electricity in the Brazilian energy market. The model is based on the equilibrium between two representative agents negotiating bilateral contracts where the agents’ risk aversion is derived from the utility functions related to the Generalized Extended CVaR Preference. This model is comprehensive and can be applied to all agents participating in the electricity futures transaction independent of whether they are directly involved in the production chain or simply carry speculative positions. Our results indicate that the model’s forecasted prices, which are based on the participants' expected behavior, can be used as an indicator for the forward price of electricity, providing more transparency and security for the participants in this market. Key-words: Forward curve, Forward Bilateral Contracts, Multi-Agent Equilibrium, CVaR, Optimization.

作者：费利佩·范德桑德·阿劳若(Felipe Van de Sande Araujo)、克里斯蒂娜·斯皮内蒂·卢兹(Cristina Spineti Luz)、莱昂纳多·利马·戈麦斯(Leonardo Lima Gomes)、路易斯·爱德华多·特谢拉·布兰当(Luiz Eduardo Teixeira Brandão)

本仓库提供的文件为同名学术论文的配套计算数据集，其组织结构如下：
- 数据文件夹(Data)：包含巴西SE/CO地区2020年及2021年的电力现货价格预测数据集，以及同期电力远期价格估算数据，该类数据可通过R脚本加载。
- 绘图文件夹(Plots)：存放由上述脚本生成的可视化图表。
- 根目录下为可执行脚本，需确保数据结构与本仓库保持一致方可正常运行。
其中敏感性分析模块使用了交互式Plotly可视化组件，完全加载可能需要一定时长。所有代码均为本论文配套开发。

论文摘要：尽管巴西幅员辽阔且拥有互联互通的电力系统，但该国尚未建立电力远期及期货合约交易的交易所。因此，长期合约的价格信息通常需通过市场调研与专家意见获取。本文提出一种简洁高效的方法，用于估算巴西能源市场中的电力远期价格。该模型基于两类代表性智能体协商双边合约时的均衡状态，其中智能体的风险厌恶程度源自与广义扩展条件风险价值(Generalized Extended CVaR)偏好相关的效用函数。本模型具备普适性，可应用于所有参与电力远期交易的主体，无论其是否直接参与电力生产链条，抑或仅持有投机头寸。研究结果表明，基于市场参与者预期行为构建的模型预测价格，可作为电力远期价格的参考指标，为该市场参与者提供更高的交易透明度与安全性。

关键词：远期曲线、远期双边合约、多智能体均衡、条件风险价值(CVaR)、优化。