Price evaluation system and method for derivative security, and risk management system and method for power exchange

• US 20040044613A1
• Filed: 05/07/2003
• Published: 03/04/2004
• Est. Priority Date: 05/15/2002
• Status: Abandoned Application

• Current Assignee: Kabushiki Kaisha Toshiba (Toshiba Corporation)
• Original Assignee: Kabushiki Kaisha Toshiba (Toshiba Corporation)
• Inventors: Kobayashi, Takenori, Kawashima, Masatoshi, Uenohara, Yuji, Tatsumi, Takahiro, Murakami, Yoshiki, Takezawa, Nobuhisa, Hirai, Yasuo, Kano, Yuichi
• Application Number:
  US10/430,207
• Publication Number:
  US 20040044613A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: H02J 3/008 involving trading of energy or energy transmission rights
• CPC Class Codes: Y04S 10/50 Systems or methods supporting the power network operation or management, involving a certain degree of interaction with the load-side end user applications
• CPC Class Codes: Y04S 50/10 Energy trading, including energy flowing from end-user application to grid

Abstract

For a comprehensive risk evaluation of the electricity price fluctuations, respective relationships between power supplies or power demands and electricity prices are derived from data of historical power supply or power demand and data of historical electricity price for respective power exchanges, respective probability distributions of electricity price fluctuations relating to uncertain fluctuations of the power supply or the power demand are computed by using the respective relationships in a given period for evaluation of a market risk, the market risk of electricity price is measured by using the respective probability distributions of electricity price fluctuations, a probability distribution for randomly fluctuating components is derived by Monte Carlo simulation, and a market risk to the electricity price fluctuations is evaluated.

Claims

1. A system for price evaluation of a derivative security comprising:

a first data receiving unit configured to receive input data of a product price and a product supply or input data of a product price and a product demand of a product during a particular trading period, or receiving input data of a stock price and a trading volume of a stock during a particular trading period;

a second data receiving unit configured to receive input data of a time to maturity of the derivative security, a current price and a strike price of an underlying asset, and a risk-free interest rate;

a third data receiving unit configured to receive input data of a period and a number of total histories for a Monte Carlo simulation;

a first processing unit configured to solve a Boltzman equation by the Monte Carlo simulation, wherein the Monte Carlo simulation uses the period and the number of total histories, to compute a probability distribution of the product price or the stock price;

a second processing unit configured to compute a price of the derivative security from the probability distribution; and

an output unit configured to output the price of the derivative security.

2. A system for price evaluation of a derivative security comprising:

a first data receiving unit configured to receive input data of a product price and a product supply or input data of a product price and a product demand of a product during a particular trading period, or receiving input data of a stock price and a trading volume of a stock during a particular trading period;

an eliminating unit configured to extract regularly fluctuating components from the data of the product price and the product supply or the data of the product price and the product demand of the product, or the data of the stock price and the trading volume of the stock and to eliminate the regularly fluctuating components from the data;

a second data receiving unit configured to receive input data of a time to maturity of the derivative security, a current price and a strike price of an underlying asset, and a risk-free interest rate;

a third data receiving unit configured to receive input data of a period and a number of total histories for a Monte Carlo simulation;

a first processing unit configured to solve a Boltzman equation by the Monte Carlo simulation, wherein the Monte Carlo simulation uses the period and the number of total histories, to compute a probability distribution of the product price or the stock price;

a second processing unit configured to compute a price of the derivative security from the probability distribution;

an adjusting unit configured to adjust the price of the derivative security by the regularly fluctuating components to obtain an adjusted price of the derivative security; and

an output unit configured to output the adjusted price of the derivative security from the adjusting unit.

3. A method of price evaluation of a derivative security comprising the steps of:

receiving input data of a product price and a product supply or input data of a product price and a product demand of a product during a particular trading period, or receiving input data of a stock price and a trading volume of a stock during a particular trading period;

receiving input data of a time to maturity of the derivative security, a current price and a strike price of an underlying asset, and a risk-free interest rate;

receiving input data of a period and a number of total histories for a Monte Carlo simulation;

solving a Boltzman equation by the Monte Carlo simulation, wherein the Monte Carlo simulation uses the period and the number of total histories, to compute a probability distribution of the product price or the stock price;

computing a price of the derivative security from the probability distribution; and

outputting the price of the derivative security.

5. A method of price evaluation of a derivative security in accordance with claim 3 or 4:

wherein an electricity is used as the product, and the price of the derivative security of the electricity is computed.

6. A method of price evaluation of a derivative security in accordance with claim 3 or 4:

wherein, as the underlying asset, a product or a stock which has a historical volatility of the product price or the stock price of at least 100% is used, and the price of the derivative security of the product is computed.

7. A method of price evaluation of a derivative security in accordance with claim 3 or 4:

wherein electricity is used as the product and a day-average, a week-average or a month-average of an electricity price is used as the underlying asset, and the price of the derivative security of the product is computed.

8. A method of price evaluation of a derivative security in accordance with claim 3 or 4:

wherein electricity is used as the product and a price of a particular time of each day, a maximum price of each day or an average price of a particular period of each day is use as a daily price of the product price, and the price of the derivative security of the product is computed.

9. A method of price evaluation of a derivative security in accordance with claim 3 or 4:

wherein a price of the product of a particular time and a particular day of each week or an average price of the product of a particular day of each week is used as the underlying asset, and the price of the derivative security of the product is computed.

4. A method of price evaluation of a derivative security comprising the steps of:

receiving input data of a product price and a product supply or input data of a product price and a product demand of a product during a particular trading period, or receiving input data of a stock price and a trading volume of a stock during a particular trading period;

extracting regularly fluctuating components from the data of the product price and the product supply of the product or the data of the product price and the product demand of the product, or from the data of the stock price and the trading volume of the stock;

eliminating the regularly fluctuating components from the data;

receiving input data of a time to maturity of the derivative security, a current price and a strike price of an underlying asset, and a risk-free interest rate;

receiving input data of a period and a number of total histories for a Monte Carlo simulation;

solving a Boltzman equation by the Monte Carlo simulation, wherein the Monte Carlo simulation uses the period and the number of total histories, to compute a probability distribution of the product price or the stock price;

computing a price of the derivative security from the probability distribution;

adjusting the price of the derivative security by the regularly fluctuating components to obtain an adjusted price of the derivative security; and

outputting the adjusted price of the derivative security.

10. A system for price evaluation of a derivative security comprising:

a first data receiving unit configured to receive input data of a product price and a product supply or input data of a product price and a product demand of a product during a particular trading period, or to receive input data of a stock price and a trading volume of a stock during a particular trading period;

an eliminating unit configured to extract regularly fluctuating components from the data of the product price and the product supply or the data of the product price and the product demand of the product, or the data of the stock price and the trading volume of the stock and to eliminate the regularly fluctuating components from the data;

a second data receiving unit configured to receive input data of a time to maturity of the derivative security, a current price and a strike price of an underlying asset, and a risk-free interest rate;

a third data receiving unit configured to receive input data of a period and a number of total histories for a Monte Carlo simulation;

a first processing unit configured to solve an equation of Brownian motion by using the period and the number of total histories to compute a probability distribution of the product price or the stock price;

a second processing unit configured to compute a price of the derivative security from the probability distribution;

an adjusting unit configured to adjust the price of the derivative security by the regularly fluctuating components to obtain an adjusted price of the derivative security; and

an output unit configured to outout the adjusted price of the derivative security from the adjusting unit.

11. A method of price evaluation of a derivative security comprising the steps of:

receiving input data of a product price and a product supply or input data of a product price and a product demand of a product during a particular trading period, or receiving input data of a stock price and a trading volume of a stock during a particular trading period;

extracting regularly fluctuating components from the data of the product price and the product supply of the product or the data of the product price and the product demand of the product, or from the data of the stock price and the trading volume of the stock;

eliminating the regularly fluctuating components from the data;

receiving input data of a time to maturity of the derivative security, a current price and a strike price of an underlying asset, and a risk-free interest rate;

receiving input data of a period and a number of total histories for a Monte Carlo simulation;

solving an equation of Brownian motion by using the period and the number of total histories to compute a probability distribution of the product price or the stock price;

computing a price of the derivative security from the probability distribution;

adjusting the price of the derivative security by the regularly fluctuating components to obtain an adjusted price of the derivative security; and

outputting the adjusted price of the derivative security.

12. A risk management method for a power exchange comprising the steps of:

finding a model of electricity price fluctuations by taking into account of a correlation between an actual electricity price and a parameter relating to the actual electricity price;

computing a probability distribution of electricity price fluctuations against irregular fluctuations of the parameter based on the model of electricity price fluctuations; and

evaluating a risk of an electricity price by using the probability distribution of electricity price fluctuations.

13. A risk management method for a power exchange in accordance with claim 12:

wherein the parameter is at least one of an actual electricity demand, a temperature and a fuel cost.

14. A risk management system for a power exchange comprising:

a analysis unit of electricity price fluctuation configured to compute a correlation between historical electricity prices of a particular time period in a particular geometrical area and economic data relating to the historical electricity prices, and to find a model of electricity price fluctuations;

an evaluation unit configured to evaluate a probability distribution of electricity price fluctuations against irregular fluctuations of the economic data based on the model of electricity price fluctuations; and

a risk measuring unit configured to calculate a quantity of risk based on the probability distribution of electricity price fluctuations.

15. A risk management system for a power exchange in accordance with claim 14:

wherein the economic data is at least one of actual electricity demands, an actual electricity demand curve, an actual electricity supply curve, temperature data and fuel costs of respective power generators.

16. A risk management system for a power exchange in accordance with claim 14, further comprising:

a risk management unit configured to control the quantity of risk calculated by the risk measuring unit.

17. A risk management system for a power exchange in accordance with claim 14, further comprising:

a calculating unit configured to calculate a derivative security price for a risk hedge on a power exchange based on the quantity of risk calculated by the risk measuring unit.

18. A risk management system for a power exchange in accordance with claim 14:

wherein the analysis unit of electricity price fluctuations carries out a regression analysis.

19. A risk management system for a power exchange in accordance with claim 14:

wherein the evaluation unit uses a fitting by a normal distribution.

20. A risk management system for a power exchange in accordance with claim 14:

wherein the evaluation unit evaluates a skewness and a kurtosis of the probability distribution of electricity price fluctuations.

21. A risk management method for a power exchange comprising the steps of:

deriving periodically fluctuating components and randomly fluctuating components from historical parameter data, which the historical parameter data affect to electricity price fluctuations;

evaluating periodically fluctuating components and randomly fluctuating components of historical electricity price by using the periodically fluctuating components and the randomly fluctuating components of the historical parameter data; and

measuring a market risk of electricity price fluctuations, based on the periodically fluctuating components and the randomly fluctuating components of the historical electricity price.

22. A risk management method for a power exchange in accordance with claim 21:

wherein the parameter is at least one of power demand, temperature and fuel cost.

23. A risk management system for a power exchange comprising:

a first extracting unit configured to extract periodically fluctuating components of a parameter from historical parameter data, where the parameter is that of affecting to electricity price fluctuations;

a second extracting unit configured to extract periodically fluctuating components of an electricity price from historical electricity price data, where a period of the historical electricity price data corresponds to that of the historical parameter data;

a deriving unit configured to derive a relationship between the periodically fluctuating components of the parameter and the periodically fluctuating components of the electricity price;

a first forecasting unit configured to forecast future fluctuations of the parameter by using the periodically fluctuating components of the parameter;

a second forecasting unit configured to forecast periodically fluctuating components of a future electricity price by adapting the relationship derived by the deriving unit to the future fluctuations of the parameter;

an evaluating unit configured to evaluate the randomly fluctuating components of the historical electricity price;

a computing unit configured to compute a probability distribution of electricity price fluctuations from the periodically fluctuating components of the future electricity price and the randomly fluctuating components of the historical electricity price; and

a measuring unit configured to measure a quantity of risk by using the probability distribution of the electricity price fluctuations.

24. A risk management system for a power exchange in accordance with claim 23:

wherein the parameter is at least one of power demand, temperature and fuel cost.

25. A risk management system for a power exchange in accordance with claim 23:

wherein the first extracting unit extracts the periodically fluctuating components of the parameter from the historical data thereof by using a moving average method, a moving median method, a least square method or a Fourier analysis.

26. A risk management system for a power exchange in accordance with claim 23:

wherein the evaluating unit analyzes the historical electricity price data by a financial Boltzman model to find a risk-neutral probability distribution.

27. A risk management method for a power exchange comprising the steps of:

deriving a relationship between a power supply or demand and an electricity price from data of historical power supply or power demand and data of historical electricity price;

evaluating, by using the relationship between the power supply or the power demand and the electricity price, a probability distribution of electricity price fluctuations relating to uncertain fluctuations of a power supply or a power demand in a given period for evaluation of a market risk; and

measuring a market risk of an electricity price by using the probability distribution of electricity price fluctuations.

28. A risk management system for a power exchange comprising:

a deriving unit configured to derive a relationship between a power supply or demand and an electricity price from data of historical power supply or power demand and data of historical electricity price of a particular area in a particular period;

an evaluating unit configured to evaluate a probability distribution of electricity price fluctuations relating to uncertain fluctuations of power supply or power demand in a given period for evaluation of a market risk; and

a measuring unit configured to measure a market quantity of risk of an electricity price by using the probability distribution of electricity price fluctuations.

29. A risk management system for a power exchange in accordance with claim 28, further comprising:

a risk management unit configured to control the quantity of risk measured by the measuring unit.

30. A risk management system for a power exchange in accordance with claim 28, further comprising:

a calculating unit configured to calculate a price of a derivative security by using the quantity of risk to hedge a power exchange.

31. A risk management system for a power exchange in accordance with claim 28:

wherein the deriving unit derives a fluctuation model of an electricity price from the power demand; and

, in deriving the fluctuation model, the deriving unit transforms by Ito Lenma a stochastic process of power demand fluctuations into a stochastic process of electricity price fluctuations.

32. A risk management system for a power exchange in accordance with claim 28:

wherein the deriving unit derives a relationship between a power demand and a power cost from constraints of an electrical power system and cost functions of power generators connected to the electrical power system, and defines a fluctuation model of electricity price from the relationship between the power demand and the power cost.

33. A risk management method for a power exchange comprising the steps of:

extracting historical regularly- or periodically-fluctuating components, which regularly or periodically fluctuates depending on conditions of season, time of day, day of the week or weather, and historical randomly-fluctuating components from historical power demand data;

estimating future regularly- or periodically-fluctuating components of a power demand from the historical regularly- or periodically-fluctuating components on similar conditions with the conditions on which the historical components are extracted;

estimating future fluctuations of the power demand based on the future regularly- or periodically-fluctuating components;

adapting a given demand-price relationship of electricity to the future fluctuations of the power demand to deduce future fluctuations of the electricity price; and

measuring a quantity of risk by using the future fluctuations of the electricity price.

34. A risk management method for a power exchange, wherein plural power exchanges based on plural power supplies and power demands are carried out, comprising the steps of:

deriving respective relationships between power supplies or power demands and electricity prices from data of historical power supply or power demand and data of historical electricity price for the respective power exchanges;

evaluating, by using the respective relationships, respective probability distributions of electricity price fluctuations relating to uncertain fluctuations of the power supply or the power demand in a given period for evaluation of a market risk; and

measuring the market risk of electricity price by using the respective probability distributions of electricity price fluctuations for a comprehensive risk-evaluation to the electricity price fluctuations.

35. A risk management method for a power exchange, wherein plural power exchanges based on plural power supplies and power demands are carried out, comprising the steps of:

deriving respective relationships between power supplies or power demands and electricity prices from data of historical power supply or power demand and data of historical electricity price for the respective power exchanges;

evaluating, by using the respective relationships, respective probability distributions of electricity price fluctuations relating to uncertain fluctuations of the power supply or the power demand in a given period for evaluation of a market risk;

measuring the market risk of electricity price by using the respective probability distributions of electricity price fluctuations;

deriving a probability distribution for randomly fluctuating components by a Monte Carlo simulation; and

evaluating a market risk of the electricity price fluctuations.

36. A risk management method for a power exchange in accordance with claim 35:

wherein the Mote Carlo simulation employs a financial Boltzman model to derive a risk-neutral probability distribution, and the risk-neutral probability distribution is used for the risk evaluation.