In the past thirty years, we have witnessed the deregulation in the electrical power industry in many countries, such as UK, Norway, Chile, USA, New Zealand, Australia and Canada. The aim of deregulation is to enhance the efficiency of electric energy production and distribution, increase quality and security of power systems and reduce electricity prices. The deregulation process introduces the concept of an electricity market. In the electricity market, traditional power industry is reconstructed, and a series issues, such as market trading, power system security & control, electricity price etc., arise. Among these issues, electricity prices attract the most attention.