标题： 绿色PPA在电力市场的深度对冲 显示英文标题

标题： Deep Hedging of Green PPAs in Electricity Markets

摘要： 在电力市场中，绿色电力购买协议已成为从化石燃料向风能或太阳能等可再生能源过渡的重要合同工具。 交易绿色PPA会使参与者面临价格风险和天气风险。 此外，发达的电力市场具有所谓的“自相残杀”效应：大量电力输入会导致价格下降，反之亦然。 由于天气是一个不可交易的实体，因此出现了如何在此高度不完善的环境下进行对冲和风险管理的问题。 我们提出了一种“深度对冲”框架，利用机器学习方法构建对冲策略。 与不同的风险衡量标准相比，这些策略优于静态和动态基准策略。 显示英文摘要

摘要： In power markets, Green Power Purchase Agreements have become an important contractual tool of the energy transition from fossil fuels to renewable sources such as wind or solar radiation. Trading Green PPAs exposes agents to price risks and weather risks. Also, developed electricity markets feature the so-called cannibalisation effect : large infeeds induce low prices and vice versa. As weather is a non-tradable entity the question arises how to hedge and risk-manage in this highly incom-plete setting. We propose a ''deep hedging'' framework utilising machine learning methods to construct hedging strategies. The resulting strategies outperform static and dynamic benchmark strategies with respect to different risk measures.