考虑动力煤期货的电煤库存优化模型研究

发布时间：2018-08-07 16:49

【摘要】：随着电煤并轨制度的实施,我国进入到了电煤交易市场化的新时代,煤炭价格的波动使火电企业在成本控制方面任务更加艰巨,对其电煤库存管理策略也提出了新的要求。火电企业的电煤库存虽然可以保证其稳定生产的需求,但过多的库存量会占用企业流动资金,增加公司的经营成本。目前,火电企业为了规避电煤供应不足及价格波动的风险,往往会在冬夏两季用煤高峰时期提前存储动力煤,这样的策略不仅会增加额外的存储成本同时电煤质量也得不到较好的保障。2013年动力煤期货在郑州商品交易所正式挂牌上市,带给了火电企业一种新的电煤获取渠道,火电企业可以利用动力煤期货的实物交割功能进行稳定的动力煤供应。动力煤期货对于保证火电企业稳定生产及控制企业成本方面具有很大意义,目前多数有关企业购买动力煤期货的研究均为风险对冲及套期保值方面,将动力煤期货与企业库存相结合的研究较少,开展此项研究具有重要的理论和实践意义。本文研究旨在将动力煤现货和期货相结合,为火电企业制定动力煤期现结合库存策略提供有益的参考。本文的主要研究内容如下:1、利用文献研究法对动力煤期货和电煤库存的国内外现状进行了解,同时运用实地调研法对火电企业在用煤高峰时期的库存策略进行了解和资料收集。2、将火电企业传统库存策略和动力煤期货实物交割策略相结合,用系统动力学的方法建立模型并绘制了该模型的因果关系及存量关系图,同时对模型进行了单位检验和极限情况检验,说明了模型的真实性和可行性。在实施期现结合电煤库存模式的前提下设置不同的仿真策略,仿真策略包括:不考虑期货的提前存煤策略、简要期现结合策略及多种期货购买情形的策略。3、以某火电企业为例根据设计的仿真策略进行仿真模拟,并根据模拟结果对火电企业实施期现结合业务提出建议。在整个研究过程中,本文在火电企业现有库存策略上建立了动力煤期货和现货相结合的库存管理策略;验证了不同的期货购买策略对企业库存量和成本带来的影响。
[Abstract]:With the implementation of the system of coal mergence, China has entered a new era of coal trading marketization. The fluctuation of coal price makes the cost control task of thermal power enterprises more arduous, and puts forward new requirements to its coal inventory management strategy. Although the thermal coal inventory of thermal power enterprises can ensure its stable production demand, but excessive inventory will occupy the enterprise liquidity, increase the operating costs of the company. At present, in order to avoid the risk of insufficient supply of thermal coal and the risk of price fluctuations, thermal power enterprises often store thermal coal ahead of schedule during peak periods of coal use in winter and summer. Such a strategy would not only increase additional storage costs but also provide better protection for the quality of thermal coal. In 2013, thermal coal futures were officially listed on the Zhengzhou Commodity Exchange, giving thermal power enterprises a new way to obtain thermal coal. Thermal power enterprises can make use of the physical delivery function of thermal coal futures for stable power coal supply. Thermal coal futures are of great significance in ensuring stable production and controlling the cost of thermal power enterprises. At present, most of the research on the purchase of thermal coal futures by enterprises is on risk hedging and hedging. There are few researches on the combination of thermal coal futures and enterprise inventory, so it is of great theoretical and practical significance to carry out this research. The purpose of this paper is to combine the spot and futures of thermal coal to provide a useful reference for thermal power enterprises to formulate the current combined inventory strategy of thermal power plants. The main research contents of this paper are as follows: 1. Using literature research method to understand the current domestic and international situation of thermal coal futures and thermal coal stocks. At the same time, the method of field investigation is used to understand and collect information on the stock strategy of thermal power enterprises during the peak period of coal use, which combines the traditional inventory strategy of thermal power enterprises with the physical delivery strategy of thermal coal futures. The model is established by the method of system dynamics, and the causality and stock relation diagram of the model is drawn. At the same time, the unit test and limit test are carried out to illustrate the authenticity and feasibility of the model. Different simulation strategies are set up under the premise of combining the coal inventory mode in the implementation period. The simulation strategy includes: not considering the futures in advance coal storage strategy, Taking a thermal power enterprise as an example, the paper simulates and simulates the designed simulation strategy, and puts forward some suggestions on the present combined business in the implementation period of the thermal power enterprise according to the simulation results. In the whole research process, this paper establishes an inventory management strategy combining thermal coal futures and spot on the existing inventory strategy of thermal power enterprises, and verifies the impact of different futures purchase strategies on the inventory and cost of enterprises.
【学位授予单位】：华北电力大学(北京)
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F764.1;F724.5;F426.61

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