An econometric model for intraday electricity trading.

Philosophical Transactions. Series A, Mathematical, Physical, and Engineering Sciences
Marcel KremerFlorentina Paraschiv

Abstract

This paper develops an econometric price model with fundamental impacts for intraday electricity markets of 15-min contracts. A unique dataset of intradaily updated forecasts of renewable power generation is analysed. We use a threshold regression model to examine how 15-min intraday trading depends on the slope of the merit order curve. Our estimation results reveal strong evidence of mean reversion in the price formation mechanism of 15-min contracts. Additionally, prices of neighbouring contracts exhibit strong explanatory power and a positive impact on prices of a given contract. We observe an asymmetric effect of renewable forecast changes on intraday prices depending on the merit-order-curve slope. In general, renewable forecasts have a higher explanatory power at noon than in the morning and evening, but price information is the main driver of 15-min intraday trading. This article is part of the theme issue 'The mathematics of energy systems'.

Citations

Jun 8, 2021·Philosophical Transactions. Series A, Mathematical, Physical, and Engineering Sciences·Pierluigi MancarellaBert Zwart

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