Electricity market subject arbitrage behavior identification method and device

Abstract

The invention relates to an electricity market subject arbitrage behavior identification method and device, and the method and device can obtain the historical transaction data of all electricity market transaction varieties of each subject, and each electricity market transaction variety is composed of a plurality of minimum electric energy marks. Judging whether the combination of the transaction varieties has interest arbitrage feasibility or not according to the composition relation of the transaction varieties and the minimum electric energy mark, and if yes, setting the combination as an interest arbitrage combination and placing the interest arbitrage combination into a test set; for each subject, if the arbitrage combination exists in the historical transaction data of the subject, calculating the kilowatt-hour profit of the total profit of all arbitrage combinations existing in the subject; and if the kilowatt-hour profit is greater than a preset total permitted arbitrage profit threshold, marking the subject. It can be understood that according to the technical scheme shown by the invention, whether the subject has an intentional arbitrage behavior or not can be judged according to historical transaction data.

Description

Technical Field

[0001] The present invention relates to the technical field of power market, and in particular to a method and device for identifying arbitrage behavior of power market entities. Background Art

[0002] Against the background of the gradual deepening of electricity market reform and the gradual implementation of electricity market transactions in various provinces, the types of electricity transactions have increased, including spot electricity trading, time-sharing medium- and long-term transactions, weekly transactions, etc. The settings of electricity trading varieties are different in each province, and in the same province, as the reform progresses, the types of electricity transactions opened at different times are also different.

[0003] As electricity market regulation is still not sufficient and the trading transparency of different electricity products is not high, some market players take advantage of the non-standardized definitions of trading products and the changes in product definitions at different times to engage in multi-product arbitrage, which has affected the normal transactions of other market players.

[0004] Therefore, the current electricity market trading behavior makes it difficult to discern intentional arbitrage behavior among market players in the trading of numerous trading products. Summary of the invention

[0005] In view of this, the purpose of the present invention is to provide a method and device for identifying arbitrage behavior of power market entities, so as to solve the problem in the prior art that it is difficult to identify intentional arbitrage behavior among the trading behaviors of market entities for a variety of trading products.

[0006] According to a first aspect of an embodiment of the present invention, a method for identifying arbitrage behavior of an electric power market entity is provided, comprising:

[0007] Obtain historical transaction data of all power market transaction products of each subject, wherein the power market transaction products are composed of a number of minimum electric energy standards;

[0008] According to the composition relationship between the power market transaction varieties and the minimum electric energy standard, determine whether the combination of power market transaction varieties has arbitrage feasibility. If so, set the combination of power market transaction varieties as an arbitrage combination and place it in the test set;

[0009] For each subject, if there is an arbitrage combination in the test set in its historical transaction data, the per-kilowatt-hour profit of the total profit of all arbitrage combinations of the subject is calculated based on its historical transaction data;

[0010] If the total profit per kilowatt-hour of all arbitrage combinations is greater than a preset total permissible arbitrage profit threshold, the subject is marked.

[0011] Preferably, judging whether there is arbitrage feasibility for the combination of power market transaction varieties based on the composition relationship between the power market transaction varieties and the minimum electric energy standard includes:

[0012] The relationship vector between the nth electricity market transaction product and the T minimum electric energy standards is calculated as:

[0013] v n =[v n,1 ,v n,2 ,...,v n,T ]

[0014] Among them, v n,1 ,v n,2 ,...,v n,T They represent the inclusion relationship between the nth power market transaction product and each minimum power standard. If the nth power market transaction product contains the tth minimum power standard, then v n,t =1, otherwise v n,t =0;

[0015] Based on the relationship vector, it is determined whether the combination of electricity market transaction products has arbitrage feasibility.

[0016] Preferably, judging whether there is arbitrage feasibility for a combination of power market transaction products according to the relationship vector includes:

[0017] For the combination of the ith power market transaction product and the jth power market transaction product, calculate the inner product of the relationship vector of the ith power market transaction product and the relationship vector of the jth power market transaction product;

[0018] If the inner product of the relationship vector is greater than the preset first arbitrage feasibility threshold, then the combination of the i-th electricity market trading product and the j-th electricity market trading product has arbitrage feasibility.

[0019] Preferably, judging whether there is arbitrage feasibility of a combination of power market transaction products according to the relationship vector further includes:

[0020] Perform mean-shift clustering on the relationship vectors of all power market transaction products of the same subject to obtain several categories;

[0021] For each category, the power market transaction product of the core point of the category is regarded as the i-type, and any other power market transaction product of the category is regarded as the j-type, and the inner product of the relationship vector of the i-type and the relationship vector of the j-type is calculated;

[0022] If the inner products of the relationship vectors of the i variety and all the j varieties are greater than the preset second arbitrage feasibility threshold, the combination of electricity market trading varieties of this category is considered to be arbitrage feasible.

[0023] Preferably, calculating the electricity profit per kilowatt-hour of the total profit of all arbitrage combinations existing in the subject includes:

[0024] Calculate the profit of each arbitrage combination of the subject based on the historical transaction data of the subject;

[0025] Based on the profit of each arbitrage combination, calculate the profit per kilowatt-hour of the total profit of all arbitrage combinations of the entity.

[0026] Preferably, the method for identifying arbitrage behavior of power market entities further includes:

[0027] If the total profit per kilowatt-hour of all arbitrage combinations of the subject is greater than the preset total permitted arbitrage profit threshold, the subject will be placed on the list to be punished.

[0028] Preferably, the method for identifying arbitrage behavior of power market entities further includes:

[0029] Based on the profit of each arbitrage combination, calculate the profit per kilowatt-hour of each arbitrage combination of the subject;

[0030] Set excess profit benchmark values ​​for different trading products based on the supply-demand ratio of different trading products on the day in historical transaction data, and set the permissible arbitrage profit threshold for a single transaction based on the excess profit benchmark value;

[0031] If the profit per kilowatt-hour of the arbitrage combination of the subject is greater than the single permitted arbitrage profit threshold, the subject will be placed on the watch list.

[0032] Preferably, the method for identifying arbitrage behavior of power market entities further includes:

[0033] Excess profit recovery will be implemented on the total profits of all arbitrage portfolios of the entities on the penalty list.

[0034] Preferably, the method for identifying arbitrage behavior of power market entities further includes: pushing the entities in the observation list to the risk control platform.

[0035] According to a second aspect of an embodiment of the present invention, there is provided a device for identifying arbitrage behavior of an electric power market subject, comprising:

[0036] A data acquisition module, used to acquire historical transaction data of all power market transaction products of each subject, wherein the power market transaction products are composed of a number of minimum electric energy standards;

[0037] The arbitrage feasibility judgment module is used to judge whether the combination of power market transaction varieties has arbitrage feasibility according to the composition relationship between power market transaction varieties and minimum electric energy standards. If so, the combination of power market transaction varieties is set as an arbitrage combination and placed in the test set;

[0038] The profit calculation module is used to calculate the profit per kilowatt-hour of the total profit of all arbitrage combinations existing in the subject based on the historical transaction data of each subject if there is an arbitrage combination in the test set in its historical transaction data;

[0039] The subject screening module is used to mark the subject if the per-kilowatt-hour profit of the total profit of all arbitrage combinations is greater than a preset total allowed arbitrage profit threshold.

[0040] The technical solution provided by the embodiments of the present invention may have the following beneficial effects:

[0041] It is understandable that the technical solution shown in the present invention can obtain the historical transaction data of all power market transaction varieties of each subject, and the power market transaction varieties are composed of several minimum electric energy standards; according to the composition relationship between the transaction varieties and the minimum electric energy standards, it is judged whether there is arbitrage feasibility for the combination of transaction varieties, and if so, the combination is set as an arbitrage combination and placed in the test set; for each subject, if there is an arbitrage combination in its historical transaction data, the per-kilowatt-hour profit of the total profit of all arbitrage combinations of the subject is calculated; if the per-kilowatt-hour profit is greater than the preset total allowed arbitrage profit threshold, the subject is marked. It is understandable that the technical solution shown in the present invention can determine whether the subject has intentional arbitrage behavior based on historical transaction data.

[0042] It is to be understood that the foregoing general description and the following detailed description are exemplary and explanatory only and are not restrictive of the invention. BRIEF DESCRIPTION OF THE DRAWINGS

[0043] The accompanying drawings, which are incorporated in and constitute a part of this specification, illustrate embodiments consistent with the invention and, together with the description, serve to explain the principles of the invention.

[0044] Figure 1 It is a schematic diagram of the steps of a method for identifying arbitrage behavior of power market entities according to an exemplary embodiment;

[0045] Figure 2 is a flow chart of a method for identifying arbitrage behavior of power market entities according to an exemplary embodiment;

[0046] Figure 3 It is a schematic block diagram of a device for identifying arbitrage behavior of power market entities according to an exemplary embodiment. DETAILED DESCRIPTION

[0047] Exemplary embodiments will be described in detail herein, examples of which are shown in the accompanying drawings. When the following description refers to the drawings, the same numbers in different drawings represent the same or similar elements unless otherwise indicated. The embodiments described in the following exemplary embodiments do not represent all embodiments consistent with the present invention. Instead, they are merely examples of devices and methods consistent with some aspects of the present invention as detailed in the appended claims.

[0048] In one embodiment, Figure 1 is a schematic diagram of a method for identifying arbitrage behavior of power market entities according to an exemplary embodiment, see Figure 1 , a method for identifying arbitrage behavior of power market entities is provided, including:

[0049] Step S11: Obtain historical transaction data of all electricity market transaction products of each subject, wherein the electricity market transaction products are composed of a number of minimum electric energy standards.

[0050] Step S12: Based on the composition relationship between the power market transaction varieties and the minimum electric energy standard, determine whether the combination of power market transaction varieties has arbitrage feasibility. If so, set the combination of power market transaction varieties as an arbitrage combination and place it in the test set.

[0051] Step S13: For each subject, if there is an arbitrage combination in the test set in its historical transaction data, the profit per kilowatt-hour of the total profit of all arbitrage combinations of the subject is calculated based on its historical transaction data.

[0052] Step S14: If the total profit per kilowatt-hour of all arbitrage combinations is greater than a preset total permitted arbitrage profit threshold, mark the subject.

[0053] It is understandable that the technical solution shown in the present invention can obtain the historical transaction data of all power market transaction varieties of each subject, and the power market transaction varieties are composed of several minimum electric energy standards; according to the composition relationship between the transaction varieties and the minimum electric energy standards, it is judged whether there is arbitrage feasibility for the combination of transaction varieties, and if so, the combination is set as an arbitrage combination and placed in the test set; for each subject, if there is an arbitrage combination in its historical transaction data, the per-kilowatt-hour profit of the total profit of all arbitrage combinations of the subject is calculated; if the per-kilowatt-hour profit is greater than the preset total allowed arbitrage profit threshold, the subject is marked. It is understandable that the technical solution shown in the present invention can determine whether the subject has intentional arbitrage behavior based on historical transaction data.

[0054] Figure 2 is a flow chart of a method for identifying arbitrage behavior of power market entities according to an exemplary embodiment, see Figure 2 :

[0055] First, in the data preparation stage, in step S11, the minimum power target is defined as the power energy of the minimum tradable period in the power market. For markets that have carried out power spot trading, the minimum power target is usually the power energy per operating day and per hour.

[0056] The definition of power market trading varieties is that the trading objects are composed of a combination of several minimum electric energy standards, and the minimum electric energy standards under this combination will form a unified price in the transactions of this trading variety. For example: (1) All T time periods of day-ahead market transactions are a power market trading variety, totaling T varieties. Each of these varieties contains a minimum electric energy standard, and each forms a day-ahead market price as the transaction price of this variety. (2) Weekly listing transactions of the typical curve of power grid load are a power market trading variety. This type of variety contains "7 days × 24 hours" minimum electric energy standards, and this variety only forms a transaction price of the typical curve of power grid load. (3) Monthly green power transactions of the base load curve are a power market trading variety. This type of variety contains "number of days in this month × 24 hours" minimum electric energy standards, and this variety only forms a transaction price of the base load curve.

[0057] The above are only examples of some varieties. In the data acquisition stage, it is necessary to obtain the transaction prices of all N power market transaction varieties according to the above definition.

[0058] In the data preparation stage, the threshold can also be obtained, for example, the total allowed arbitrage profit threshold r arbitrage,all 、The first arbitrage feasibility threshold f arbitrage，2 The second arbitrage feasibility threshold f arbitrage,multi , Single permitted arbitrage profit threshold r arbitrage,1 .

[0059] It should be noted that, in step S12, judging whether there is arbitrage feasibility for the combination of power market transaction products based on the composition relationship between the power market transaction products and the minimum electric energy standard includes:

[0060] The relationship vector between the nth electricity market transaction product and the T minimum electric energy standards is calculated as:

[0061] v n =[v n,1 ,v n,2 ,...,v n,T ]

[0062] Among them, v n,1 ,v n,2 ,...,v n,TThey represent the inclusion relationship between the nth power market transaction product and each minimum power standard. If the nth power market transaction product contains the tth minimum power standard, then v n,t =1, otherwise v n,t =0;

[0063] Based on the relationship vector, it is determined whether the combination of electricity market transaction products has arbitrage feasibility.

[0064] It should be noted that in step S12, based on the relationship vector, it is determined whether there is arbitrage feasibility for the combination of power market transaction products, including calculating the arbitrage feasibility of two products and calculating the arbitrage feasibility of multiple products.

[0065] To calculate the feasibility of arbitrage between two varieties:

[0066] For the combination of the ith power market transaction product and the jth power market transaction product, the inner product of the relationship vector of the ith power market transaction product and the relationship vector of the jth power market transaction product is calculated. The formula is as follows:

[0067] v i-j =v i ·v j

[0068] If the inner product of the relationship vector is greater than the preset first arbitrage feasibility threshold f arbitrage，2 , then the combination of the i-th power market transaction product and the j-th power market transaction product has arbitrage feasibility. arbitrage，2 The setting can be combined with historical data and the median can be selected to determine it.

[0069] We can construct a test set Ω arbitrage , put the combinations with arbitrage feasibility into the test set Ω arbitrage .

[0070] For calculating the feasibility of multi-product arbitrage:

[0071] Perform mean-shift clustering on the relationship vectors of all power market transaction products of the same subject to obtain several categories;

[0072] For each category, the power market transaction product of the core point of the category is regarded as the i type, and any other power market transaction product of the category is regarded as the j type. The inner product of the relationship vector of the i type and the relationship vector of the j type is calculated: v i-j =v i ·v j .

[0073] If the inner product of the relationship vectors of the i variety and all the j varieties is greater than the preset second arbitrage feasibility threshold f arbitrage,multi, it is considered that there is arbitrage feasibility among all varieties in this category, and there is arbitrage feasibility for the combination of electricity market trading varieties in this category. arbitrage,multi The setting can be combined with historical data and the median can be selected to determine it.

[0074] The combination of electricity market trading products of this category is placed into the test set Ω as an arbitrage combination arbitrage .

[0075] Preferably, if there are a total of M power market entities, an arbitrage combination test set for each power market entity can be formed. Taking the mth power market entity as an example, according to the historical transaction data of the mth market entity, for the test set Ω arbitrage Each arbitrage combination in the transaction is confirmed. If the mth market subject has traded all the varieties in the arbitrage combination and the transaction directions are not all consistent, then the arbitrage combination test set Ω of the mth market subject is placed arbitrage,m .

[0076] It should be noted that the electricity profit per kilowatt-hour calculated from the total profit of all arbitrage combinations of the subject includes:

[0077] Based on the historical transaction data of the subject, calculate the profit of each arbitrage combination of the subject:

[0078] For each arbitrage combination of the mth market entity, taking the ath arbitrage combination as an example, the profit of the arbitrage combination is calculated by the following formula:

[0079]

[0080] This formula is the profit of all sold trading products in the portfolio minus the expenses of all bought trading products. In the formula, p i It indicates the price at which the market entity sells the i-th trading product, q i Indicates the trading volume of the i-th trading product sold by the market entity; p j It indicates the price at which the market entity buys the i-th trading product, q j It indicates the trading volume of the i-th trading product bought by the market subject. In addition, in any arbitrage combination, there is at least one set of selling and buying transactions at the same time.

[0081] According to the profit of each arbitrage combination, the total profit of all arbitrage combinations of the subject is calculated:

[0082] Calculate the total profit per kWh of all arbitrage combinations in the mth market entity's successful arbitrage set. The formula is as follows:

[0083]

[0084] Among them, Q m is the total transaction volume of the mth market entity.

[0085] It should be noted that the method for identifying arbitrage behavior of power market entities also includes:

[0086] If the total profit per kWh of all arbitrage combinations of the subject is greater than the preset total permissible arbitrage profit threshold r arbitrage,all , placing the subject on a list to be punished.

[0087] In practice, the total excess profit benchmark value is set based on the supply-demand ratio of all trading products on the day in the historical transaction data, and the total quasi-arbitrage profit threshold r is set based on the reasonable profit ratio. arbitrage,all When the total profit of all arbitrage combinations is r m Greater than the total allowed arbitrage profit threshold r arbitrage,all When , the mth market entity is placed in the list of pending penaltiesΩ penalty .

[0088] It should be noted that the method for identifying arbitrage behavior of power market entities also includes:

[0089] According to the profit of each arbitrage combination, the profit per kilowatt-hour of each arbitrage combination of the subject is calculated:

[0090] The formula for calculating the electricity profit of the a-th arbitrage combination of the m-th market entity is as follows:

[0091]

[0092] According to the supply-demand ratio of different trading products on the day in the historical transaction data, the excess profit benchmark value for different trading products is set, and the single arbitrage profit threshold r is set according to the excess profit benchmark value. arbitrage,1 .

[0093] If the arbitrage portfolio of the subject has a profit per kWh of r m,a Greater than the single permissible arbitrage profit threshold r arbitrage,1 , indicating that the arbitrage of the ath arbitrage combination of the mth market player is successful. If at this time, the mth market player is not in the waiting listΩ check , then the subject is placed in the waiting list Ω check Preferably, a successful arbitrage set for each market player is established, and the successful arbitrage set for the mth market player is Ω treat,m , put the arbitrage combination of the mth market entity that has successfully arbitraged into the set Ω treat,m .

[0094] It should be noted that the method for identifying arbitrage behavior of power market entities also includes:

[0095] Excess profit recovery will be implemented on the total profits of all arbitrage portfolios of the entities on the penalty list.

[0096] In practice, for the penalty list Ω penalty Each market entity in the market needs to recover excess profits from each entity. Taking the mth entity as an example, the arbitrage success set Ω of the mth entity treat,m Total profit in Execute excess profit recovery. Market entities that do not exceed the total excess profit benchmark value under the supply-demand ratio will be deemed to have invalid arbitrage behavior.

[0097] It should be noted that the method for identifying arbitrage behavior of power market entities further includes: check The subjects in the data are pushed to the risk control platform for display to the risk control staff.

[0098] It can be understood that the technical solution shown in the present invention, in order to solve the problem of non-standardized definition between electricity market trading varieties and make the arbitrage of different varieties feasible for normalized comparison, this method first determines the feasibility of arbitrage between different trading varieties in the electricity market, and realizes the normalized description of different electricity market trading varieties by constructing the relationship vector between each trading variety and the minimum electric energy trading target. At the same time, combined with the definition of arbitrage, that is, reverse operation is performed on the same minimum trading target to realize arbitrage, through the means of vector inner product and clustering, double variety arbitrage and multi-variety arbitrage are identified respectively, and the trading varieties that may have reverse operation arbitrage space are used as the varieties to be tested, so as to reduce the subsequent misjudgment in the arbitrage identification of market entities.

[0099] Secondly, based on the arbitrage data of market players, this method judges the success of arbitrage from the perspective of the arbitrage profit of a single arbitrage combination and the total arbitrage profit, thus successfully reducing the misjudgment of arbitrage identification of market players. First, the profit per kilowatt-hour is calculated for all arbitrage combinations. The price difference between varieties is not considered separately, but the profit is directly used for evaluation, which can reduce the misjudgment of the reasonable trading behavior of market players. Secondly, for all arbitrage combinations that have successfully arbitraged, the profit per kilowatt-hour is calculated together, and only the market players with excessively high total profit per kilowatt-hour are subject to the next step of arbitrage profit recovery, thus reducing the interference with the reasonable game of market players.

[0100] According to a second aspect of the embodiments of the present invention, Figure 3 is a schematic block diagram of a device for identifying arbitrage behavior of power market entities according to an exemplary embodiment, see Figure 3 , a device for identifying arbitrage behavior of power market entities is provided, comprising:

[0101] The data acquisition module 101 is used to acquire the historical transaction data of all power market transaction products of each subject, wherein the power market transaction products are composed of a number of minimum electric energy standards;

[0102] The arbitrage feasibility judgment module 102 is used to judge whether the combination of power market transaction varieties has arbitrage feasibility according to the composition relationship between the power market transaction varieties and the minimum electric energy standard. If so, the combination of power market transaction varieties is set as an arbitrage combination and placed in the test set;

[0103] The profit calculation module 103 is used to calculate the profit per kilowatt-hour of the total profit of all arbitrage combinations existing in the subject according to the historical transaction data of each subject if there is an arbitrage combination in the test set in its historical transaction data;

[0104] The subject screening module 104 is used to mark the subject if the per-kilowatt-hour profit of the total profit of all arbitrage combinations is greater than a preset total permitted arbitrage profit threshold.

[0105] It can be understood that the technical solution shown in this embodiment can obtain the historical transaction data of all power market transaction varieties of each subject through the data acquisition module 101, and the power market transaction varieties are composed of several minimum electric energy standards; through the arbitrage feasibility judgment module 102, according to the composition relationship between the transaction varieties and the minimum electric energy standards, it is judged whether there is arbitrage feasibility for the combination of transaction varieties. If so, the combination is set as an arbitrage combination and placed in the test set; for each subject, through the profit calculation module 103, if there is an arbitrage combination in its historical transaction data, the total profit of all arbitrage combinations existing in the subject is calculated; through the subject screening module 104, if the profit per kilowatt-hour is greater than the preset total allowed arbitrage profit threshold, the subject is marked. It can be understood that the technical solution shown in this embodiment can judge whether the subject has intentional arbitrage behavior based on historical transaction data.

[0106] It can be understood that the same or similar parts of the above embodiments can be referenced to each other, and the contents not described in detail in some embodiments can refer to the same or similar contents in other embodiments.

[0107] It should be noted that, in the description of the present invention, the terms "first", "second", etc. are only used for descriptive purposes and cannot be understood as indicating or implying relative importance. In addition, in the description of the present invention, unless otherwise specified, the meaning of "plurality" refers to at least two.

[0108] Any process or method description in a flowchart or otherwise described herein may be understood to represent a module, segment or portion of code that includes one or more executable instructions for implementing the steps of a specific logical function or process, and the scope of the preferred embodiments of the present invention includes alternative implementations in which functions may not be performed in the order shown or discussed, including performing functions in a substantially simultaneous manner or in the reverse order depending on the functions involved, which should be understood by those skilled in the art to which the embodiments of the present invention belong.

[0109] It should be understood that the various parts of the present invention can be implemented by hardware, software, firmware or a combination thereof. In the above-mentioned embodiments, a plurality of steps or methods can be implemented by software or firmware stored in a memory and executed by a suitable instruction execution system. For example, if implemented by hardware, as in another embodiment, it can be implemented by any one of the following technologies known in the art or their combination: a discrete logic circuit having a logic gate circuit for implementing a logic function for a data signal, a dedicated integrated circuit having a suitable combination of logic gate circuits, a programmable gate array (PGA), a field programmable gate array (FPGA), etc.

[0110] A person skilled in the art may understand that all or part of the steps in the method for implementing the above-mentioned embodiment may be completed by instructing related hardware through a program, and the program may be stored in a computer-readable storage medium, which, when executed, includes one or a combination of the steps of the method embodiment.

[0111] In addition, each functional unit in each embodiment of the present invention may be integrated into a processing module, or each unit may exist physically separately, or two or more units may be integrated into one module. The above-mentioned integrated module may be implemented in the form of hardware or in the form of a software functional module. If the integrated module is implemented in the form of a software functional module and sold or used as an independent product, it may also be stored in a computer-readable storage medium.

[0112] The storage medium mentioned above can be a read-only memory, a magnetic disk or an optical disk, etc.

[0113] In the description of this specification, the description with reference to the terms "one embodiment", "some embodiments", "examples", "specific examples", or "some examples" means that the specific features, structures, materials or characteristics described in conjunction with the embodiment or example are included in at least one embodiment or example of the present invention. In this specification, the schematic representation of the above terms does not necessarily refer to the same embodiment or example. Moreover, the specific features, structures, materials or characteristics described may be combined in any one or more embodiments or examples in a suitable manner.

[0114] Although the embodiments of the present invention have been shown and described above, it is to be understood that the above embodiments are exemplary and are not to be construed as limitations of the present invention. A person skilled in the art may change, modify, replace and vary the above embodiments within the scope of the present invention.

Claims

1. A method for identifying arbitrage behavior of power market entities, characterized in that: include: Obtain historical transaction data of all power market transaction products of each subject, wherein the power market transaction products are composed of a number of minimum electric energy standards; According to the composition relationship between the power market transaction varieties and the minimum electric energy standard, determine whether the combination of power market transaction varieties has arbitrage feasibility. If so, set the combination of power market transaction varieties as an arbitrage combination and place it in the test set; For each subject, if there is an arbitrage combination in the test set in its historical transaction data, the per-kilowatt-hour profit of the total profit of all arbitrage combinations of the subject is calculated based on its historical transaction data; If the total profit per kilowatt-hour of all arbitrage combinations is greater than a preset total permissible arbitrage profit threshold, the subject is marked.

2. The method for identifying arbitrage behavior of power market entities according to claim 1 is characterized in that: The determination of whether there is arbitrage feasibility of a combination of power market transaction products based on the composition relationship between the power market transaction products and the minimum electric energy standard includes: The relationship vector between the nth electricity market transaction product and the T minimum electric energy standards is calculated as: v n =[v n,1 ,v n,2 ,...,v n,T ] Among them, v n,1 ,v n,2 ,...,v n,T They represent the inclusion relationship between the nth power market transaction product and each minimum power standard. If the nth power market transaction product contains the tth minimum power standard, then v n,t =1, otherwise v n,t =0; Based on the relationship vector, it is determined whether the combination of electricity market transaction products has arbitrage feasibility.

3. The method for identifying arbitrage behavior of power market entities according to claim 2 is characterized in that: According to the relationship vector, it is judged whether the combination of power market transaction products has arbitrage feasibility, including: For the combination of the ith power market transaction product and the jth power market transaction product, calculate the inner product of the relationship vector of the ith power market transaction product and the relationship vector of the jth power market transaction product; If the inner product of the relationship vector is greater than the preset first arbitrage feasibility threshold, then the combination of the i-th electricity market trading product and the j-th electricity market trading product has arbitrage feasibility.

4. The method for identifying arbitrage behavior of power market entities according to claim 3 is characterized in that: Judging whether there is arbitrage feasibility in the combination of power market transaction products according to the relationship vector also includes: Perform mean-shift clustering on the relationship vectors of all power market transaction products of the same subject to obtain several categories; For each category, the power market transaction product of the core point of the category is regarded as the i-type, and any other power market transaction product of the category is regarded as the j-type, and the inner product of the relationship vector of the i-type and the relationship vector of the j-type is calculated; If the inner products of the relationship vectors of the i variety and all the j varieties are greater than the preset second arbitrage feasibility threshold, the combination of electricity market trading varieties of this category is considered to be arbitrage feasible.

5. The method for identifying arbitrage behavior of power market entities according to claim 1, characterized in that: Calculate the total profit per kilowatt-hour of all arbitrage combinations of the subject, including: Calculate the profit of each arbitrage combination of the subject based on the historical transaction data of the subject; Based on the profit of each arbitrage combination, calculate the profit per kilowatt-hour of the total profit of all arbitrage combinations of the entity.

6. The method for identifying arbitrage behavior of power market entities according to claim 5 is characterized in that: Also includes: If the total profit per kilowatt-hour of all arbitrage combinations of the subject is greater than the preset total permitted arbitrage profit threshold, the subject will be placed on the list to be punished.

7. The method for identifying arbitrage behavior of power market entities according to claim 6, characterized in that: Also includes: Based on the profit of each arbitrage combination, calculate the profit per kilowatt-hour of each arbitrage combination of the subject; Set excess profit benchmark values ​​for different trading products based on the supply-demand ratio of different trading products on the day in historical transaction data, and set the permissible arbitrage profit threshold for a single transaction based on the excess profit benchmark value; If the profit per kilowatt-hour of the arbitrage combination of the subject is greater than the single permitted arbitrage profit threshold, the subject will be placed on the watch list.

8. The method for identifying arbitrage behavior of power market entities according to claim 7, characterized in that: Also includes: Excess profit recovery will be implemented on the total profits of all arbitrage portfolios of the entities on the penalty list.

9. The method for identifying arbitrage behavior of power market entities according to claim 7, characterized in that: Also includes: Push the entities on the watch list to the risk control platform.

10. A device for identifying arbitrage behavior of power market entities, characterized in that: include: A data acquisition module, used to acquire historical transaction data of all power market transaction products of each subject, wherein the power market transaction products are composed of a number of minimum electric energy standards; The arbitrage feasibility judgment module is used to judge whether the combination of power market transaction varieties has arbitrage feasibility according to the composition relationship between power market transaction varieties and minimum electric energy standards. If so, the combination of power market transaction varieties is set as an arbitrage combination and placed in the test set; The profit calculation module is used to calculate the profit per kilowatt-hour of the total profit of all arbitrage combinations existing in the subject based on the historical transaction data of each subject if there is an arbitrage combination in the test set in its historical transaction data; The subject screening module is used to mark the subject if the per-kilowatt-hour profit of the total profit of all arbitrage combinations is greater than a preset total allowed arbitrage profit threshold.

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