Modeling Market Order Arrivals on the Intraday Market for Electricity Deliveries in Germany with the Hawkes Process

Luckner, Nikolaus Graf von; Kiesel, Rüdiger

doi:10.2139/ssrn.3526795

Cited by 7 publications

(11 citation statements)

References 18 publications

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“…In particular, liquidity on the intraday electricity market increases and, thus, interarrival times decrease towards gate closure. as shown by [6,17,21,35]. This behavior is typical for financial markets whose underlying design corresponds to a forward market [see, e.g., [36] for a recent empirical study on the German electricity futures market].…”

Section: Econometric Modelmentioning

confidence: 95%

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Intraday Electricity Pricing of Night Contracts

2020

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This paper investigates the intraday electricity pricing of 15-min. contracts in night hours. We tailor a recently introduced econometric model with fundamental impacts, which is successful in describing the pricing of day contracts. Our estimation results show that the mean reversion and the positive price impact of neighboring contracts are generic features of the price formation process on the intraday market, independent of the time of day. Intraday auction prices have higher explanatory power for the pricing of night than day contracts, particularly, for the first and last 15-min. contract in a night hour. Intradaily updated forecasts of wind power infeed are the only significant fundamental factors for intraday electricity prices at night. Neither expected conventional capacities nor the slope of the merit order curve contribute to explaining price dynamics. Overall, we conclude that fundamentals lose in importance in night hours and the 15-min. intraday market is rather driven by price information.

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Section: Econometric Modelmentioning

confidence: 95%

“…[7,18,19] provide forecasting studies for intraday electricity prices; Refs. [20][21][22] model the market microstructure of the intraday market based on transaction and market order arrivals.…”

Section: Introductionmentioning

confidence: 99%

Intraday Electricity Pricing of Night Contracts

2020

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“…Hence, it is desirable to trade as close to delivery beginning as possible. [18,19] document an increasing liquidity towards gate closure for hourly contracts on the German intraday electricity market, too.…”

Section: Stylized Factsmentioning

confidence: 99%

An econometric model for intraday electricity trading

Kremer

Kiesel

Paraschiv

2021

Phil. Trans. R. Soc. A.

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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’.

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“…Back to the context of electricity intraday markets, Favetto [9] fits an univariate Hawkes process to describe the market activity of a product in the intraday market. Graf von Luckner and Kiesel [12] work with a 2-dimensional Hawkes process in the intraday market.…”

Section: Introductionmentioning

confidence: 99%

Electricity intraday price modeling with marked Hawkes processes

Deschatre¹,

Gruet²

2021

Preprint

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We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent different empirical facts such as increasing market activity, random jump sizes but above all microstructure noise through the signature plot. This last feature is of particular importance for practitioners and has not yet been modeled on those particular markets. We provide analytic formulas for first and second moments and for the signature plot, extending the classic results of Bacry et al. [2] in the context of Hawkes processes with random jump sizes and time dependent baseline intensity. The tractable model we propose is estimated on German data and seems to fit the data well. We also provide a result about the convergence of the price process to a Brownian motion with increasing volatility at macroscopic scales, highlighting the Samuelson effect.

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Modeling Market Order Arrivals on the Intraday Market for Electricity Deliveries in Germany with the Hawkes Process

Cited by 7 publications

References 18 publications

Intraday Electricity Pricing of Night Contracts

Intraday Electricity Pricing of Night Contracts

An econometric model for intraday electricity trading

Electricity intraday price modeling with marked Hawkes processes

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