Market risk assessment method based on power transaction data

Abstract

The invention relates to a market risk assessment method based on power transaction data, and the method comprises the steps: 1), carrying out the dimension reduction of a power market risk monitoringfull-index library based on a Lasso regression model, and constructing a power market risk monitoring index system; 2) determining an index threshold value by adopting a mean number principle method,screening abnormal data, and carrying out preliminary identification on a risk object; 3) calculating the subjective weight and the objective weight of each index by using an improved CRITICG1 method, calculating the comprehensive weight of each index by using an improved game theory combination weighting method, constructing an aggregation model, and determining the risk level of the screened market subject by using a comprehensive evaluation method; and 4) performing risk assessment on the market risk of the market subject according to the risk level, and establishing different early warning mechanisms to warn the market risk. Compared with the prior art, the method has the advantages of effectively monitoring potential market violation behaviors of different market subjects, improvingthe precision and speed of power market risk assessment and the like.

Description

technical field [0001] The invention relates to the technical field of power market operation monitoring, in particular to a market risk assessment method based on power transaction data. Background technique [0002] Electricity market operation is bound to be accompanied by electricity market risks. Because my country is still in the process of market environment construction, market awareness and market regulations are weak, and it is more difficult to prevent market risks. The province-based electricity market has the characteristics of "one high, one low, one high and one low" in terms of risks, that is, there are few market players, many risk forms, high risk levels, and low risk tolerance, making it extremely difficult to prevent market risks. [0003] At present, electricity market monitoring lacks necessary indicators and standards, and lacks necessary basis and means for dealing with market violations, resulting in frequent occurrence of electricity market violatio...

AI Technical Summary

Problems solved by technology

Among them, the game theory combination weighting method has been widely used in the fields of flood risk assessment, comprehensive water quality evaluation, and rock explosiveness level identification, but there is an important defect in the traditional game theory combination weighting method, that is, the obtained weight coefficient may be negative number

On the other hand, the diversity and complexity of market members are gradually increasing, and the market scale is constantly expanding. The existing market risk assessment index system lacks the analysis of emerging market risk characteristics, resulting in the inability to effectively monitor potential market violations of different market players. Behavior

In addition, the existing technology uses analytic hierarchy process, sensitivity analysis, information entropy weight method, expert scoring method and other evaluation methods. The process is cumbersome, and the accuracy and speed of evaluation are not high enough, which affects its practical application.

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