原创力文档基于多重分形理论的电力市场风险价值评估 evaluation of value-at-risk in electricity markets based on multifractal theory.pdfVIP
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基于多重分形理论的电力市场风险价值评估 evaluation of value-at-risk in electricity markets based on multifractal theory
V01．37
第37卷第7期 电力系统自动化 No．7
AutomationofElectricPower
2013年4月10日 Systems Apr．10，2013
DOI：10．7500／AEPS201206172
基于多重分形理论的电力市场风险价值评估
刘伟佳1，尚金成2，周文玮1，文福拴1，林振智1
(1．浙江大学电气工程学院，浙江省杭州市310027；2．河南电网电力交易中心，河南省郑卅I市450052)
摘要：现有的有关电力市场与分形理论相结合方面的研究大多局限于实证分析，还没有上升到风
险指标的构造与计算方法层次。在此背景下，首先利用多重分形消除趋势波动分析法对电价波动
进行多重分形分析，验证电价波动的多重分形特性。然后，结合回归间隔法，提出了一种适于衡量
多重分形分布电价波动所引
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