Econometric Analysis of 15-Minute Intraday Electricity Prices

44 Pages Posted: 10 Oct 2015 Last revised: 23 Nov 2016

See all articles by Ruediger Kiesel

Ruediger Kiesel

University of Duisburg-Essen - Faculty of Economic Science

Florentina Paraschiv

Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School; University of St. Gallen, Institute for Operations Research and Computational Finance

Date Written: November 9, 2016

Abstract

The trading activity in the German intraday electricity market has increased significantly over the last years. This is partially due to an increasing share of renewable energy, wind and photovoltaic, which requires power generators to balance out the forecasting errors in their production. We investigate the bidding behaviour in the intraday market by looking at both last prices and continuous bidding, in the context of a fundamental model. A unique data set of 15-minute intraday prices and intraday-updated forecasts of wind and photovoltaic has been employed and price bids are modelled by prior information on fundamentals. We show that intraday prices adjust asymmetrically to both forecasting errors in renewables and to the volume of trades dependent on the threshold variable demand quote, which reflects the expected demand covered by the planned traditional capacity in the day-ahead market. The location of the threshold can be used by market participants to adjust their bids accordingly, given the latest updates in the wind and photovoltaic forecasting errors and the forecasts of the control area balances.

Keywords: intraday electricity prices, bidding behavior, renewable energy, forecasting model

JEL Classification: G10, C32

Suggested Citation

Kiesel, Ruediger and Paraschiv, Florentina, Econometric Analysis of 15-Minute Intraday Electricity Prices (November 9, 2016). University of St.Gallen, School of Finance Research Paper No. 2015/21. Available at SSRN: https://ssrn.com/abstract=2671379 or http://dx.doi.org/10.2139/ssrn.2671379

Ruediger Kiesel

University of Duisburg-Essen - Faculty of Economic Science ( email )

Essen, 45117
Germany

HOME PAGE: http://www.lef.wiwi.uni-due.de/

Florentina Paraschiv (Contact Author)

Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School ( email )

Klæbuveien 72
Trondheim, NO-7030
Norway

University of St. Gallen, Institute for Operations Research and Computational Finance ( email )

Bodanstrasse 6
St. Gallen, 9000
Switzerland

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