DYNA JOURNAL ENGINEERING

Key words:

Mercado eléctrico, Riesgo, Estrategias de compra, Diversificación, Mercado de futuros, Electricity market, Risk, Purchasing strategies, Diversification, Futures market

Article type:

ARTICULO DE INVESTIGACION / RESEARCH ARTICLE

Section:

RESEARCH ARTICLES

The deregulation of the electricity market has made the appearance of competition in the sector and therefore has made to emerge new risks. That is the reason why there are new activities to reduce these risks. These activities are typical of markets where financial assets are traded. All changes around the electricity sector have made electricity from being a basic necessity to be an asset. That is why it is essential the hedge.
Thus, the final objective of this work is to establish a purchase algorithm that detects the optimal time to carry out operations on the OMIP market. This way it is hedged bullish positions in spot market and takes advantage of downward movement thereof. It has calculated the energy cost taking into account different options that the participant can take part of and has been tested its efficacy by experiments for four different years using real data of an industrial company.