Volatility and Dispersion of Hourly Electricity Contracts on the Epex Spot Continuous Intraday Market
38 Pages Posted: 13 Nov 2019
Date Written: November 4, 2019
In the past few years, the trading volume has steadily increased on the continuous intraday market of EPEX Spot, one of Europe's most important exchanges for short-term electricity trading. This is to a significant extent due to renewable energies in the form of solar and wind power, whereby interday trading is particularly well suited for the rebalancing of such energy production. We analyze the volatility and dispersion of individual hourly contracts, taking into account the particularities of the market, due to which the standard volatility measure from financial time series cannot be applied. We suggest and analyze five measures for the dispersion of intraday prices for a single contract. The different measures are similarly well suited for electricity contracts. We then identify fundamental drivers of price fluctuations. The relative share of wind in the overall mix, the traded volume, the absolute difference between the day-ahead auction price, and the volume-weighted intraday price increase dispersion. The traded volume between the German market and a foreign market decreases dispersion.
Keywords: intraday electricity market, renewable energies, electricity price volatility, electricity price dispersion
JEL Classification: C20, Q40, Q41, Q42
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