Equilíbrio de Nash aplicado à estratégia da sazonalização da garantia física dos agentes que atuam no mercado brasileiro de energia elétrica

Abstract

The energy certificates seasonalization process consists of the monthly allocation of the physical guarantee (GF) of the hydro plants participating in the Energy Reallocation Mechanism (MRE), which is a mechanism that allows the sharing of hydrological risks among its participants. The GFs are defined by the concessioning authority, through the Ministry of Mines and Energy (MME), and make up the energy base that each hydroelectric plant can market. According to the MRE risk-sharing rules, the energy that each generator will receive, for the calculation of its exposure in the Short-Term Market (MCP), does not depend only on its seasonality decision, but on the monthly proportion between its decision and the decision of the other agents participating in the mechanism. In this process of monthly allocation of GFs, generating agents have the opportunity to define a seasonality strategy that seeks to minimize the risks of exposure to the Differences Settlement Price (PLD) and, therefore, seeking better financial results in the MCP. Frequently, monthly allocations of physical guarantees are made considering the months in which the probabilities of PLD values being higher are greater, in order to seek maximized results in the MCP. However, a large allocation of GF in these months will lead to a lower allocation of GF for the agents who made that decision. Therefore, the seasonality process can be seen as a game between MRE participants, that is, the strategic decision must be made taking into account the decision of the other agents. This analysis can be done using mathematical tools such as Game Theory. In this way, this study proposes a new method to find the Nash Equilibrium to calculate the impact of the individual decisions of agents on the financial result in the MCP. The proposed method stands out for being faster and more robust than the traditional methods evaluated. The historical decisions of the seasonalizations of the physical guarantees of the MRE plants were analyzed comparing them with a competitive collective decision of the Nash Equilibrium, showing that the use of decisions based on this Equilibrium is beneficial for the MRE. In addition to this collective analysis, the tool was also able to propose seasonality strategies creating more robust alternatives for these agents. This developed tool can be used by market agents to assist in the decision-making of each of them, and also to assist the regulator in evaluating the impacts on the MRE with regulatory proposals, contributing to the evolution of the mechanism and of the entire Brazilian electricity market.