Mitigating Renewable-Induced Risks for Green and Conventional Ammonia Producers through Coordinated Production and Futures Trading
再生可能エネルギー由来アンモニア生産における調整生産と先物取引によるリスク軽減 (AI 翻訳)
Hua Geng, Yangjun Zeng, Yiwei Qiu School of Statistics, Data Science, Southwestern University of Finance, Economics, College of Electrical Engineering, Sichuan University
🤖 gxceed AI 要約
日本語
再生可能エネルギー由来アンモニア(ReP2A)生産は脱炭素に有望だが、再生可能エネルギーの変動により収益が不安定化する。本研究は、再生可能アンモニア先物という金融商品を提案し、生産計画と統合することでリスクをヘッジするモデルを構築。ゲーム理論とナッシュ交渉により、ReP2A生産者と従来のグレーアンモニア生産者の協調戦略を導出。実証分析により、先物導入で両者のCVaR効用がそれぞれ5.103%、10.14%向上し、収益安定性が改善されることを確認した。
English
This paper proposes renewable ammonia futures as a financial hedge against revenue volatility from renewable intermittency in power-to-ammonia production. It develops production and trading models for both green and conventional producers, using CVaR for risk preferences and a Nash bargaining game for coordination. Case studies show that introducing such futures increases CVaR utilities by 5.103% for green and 10.14% for grey ammonia producers, improving profit stability.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本は水素・アンモニアサプライチェーン構築を国家戦略として進めており、本論文が提案する金融リスク管理手法は、国内のグリーンアンモニア事業における収益安定化に直接応用可能。特に、再生可能エネルギー変動が大きい日本において、先物取引によるリスクヘッジは実務上有用な知見を提供する。
In the global GX context
This study addresses a critical gap in managing renewable intermittency risks for hydrogen-based commodities through financial innovation. With global growth in green ammonia projects (e.g., Japan's fuel ammonia, Europe's hydrogen strategy), the proposed futures contract offers a scalable hedging solution that could inform market design for decarbonized commodity trading.
👥 読者別の含意
🔬研究者:Novel integration of financial hedging with production scheduling for renewable hydrogen-derived products; game-theoretic coordination under uncertainty.
🏢実務担当者:Ammonia producers and energy traders can use the futures framework to mitigate revenue risks from renewable variability.
🏛政策担当者:Commodity market regulators may consider green ammonia futures to support the transition; the model demonstrates feasibility.
📄 Abstract（原文）
Renewable power-to-ammonia (ReP2A), which uses hydrogen produced from renewable electricity as feedstock, is a promising pathway for decarbonizing the energy, transportation, and chemical sectors. However, variability in renewable generation causes fluctuations in hydrogen supply and ammonia production, leading to revenue instability for both ReP2A producers and conventional fossil-based gray ammonia (GA) producers in the market. Existing studies mainly rely on engineering measures, such as production scheduling, to manage this risk, but their effectiveness is constrained by physical system limits. To address this challenge, this paper proposes a financial instrument termed \emph{renewable ammonia futures} and integrates it with production decisions to hedge ammonia output risk. Production and trading models are developed for both ReP2A and GA producers, with conditional value-at-risk (CVaR) used to represent risk preferences under uncertainty. A game-theoretic framework is established in which the two producers interact in coupled ammonia spot and futures markets, and a Nash bargaining mechanism coordinates their production and trading strategies. Case studies based on a real-world system show that introducing renewable ammonia futures increases the CVaR utilities of ReP2A and GA producers by 5.103% and 10.14%, respectively, improving profit stability under renewable uncertainty. Sensitivity analysis further confirms the effectiveness of the mechanism under different levels of renewable variability and capacity configurations.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://www.semanticscholar.org/paper/83aabf4909f4016f123b4a4dfbd7771d4f10bd44first seen 2026-05-15 19:51:11
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