Volatility and Dispersion of Hourly Electricity Contracts on the Epex Spot Continuous Intraday Market

38 Pages Posted: 13 Nov 2019

See all articles by Rainer Baule

Rainer Baule

University of Hagen

Michael Naumann

University of Hagen

Date Written: November 4, 2019

Abstract

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

Suggested Citation

Baule, Rainer and Naumann, Michael, Volatility and Dispersion of Hourly Electricity Contracts on the Epex Spot Continuous Intraday Market (November 4, 2019). Available at SSRN: https://ssrn.com/abstract=3480527 or http://dx.doi.org/10.2139/ssrn.3480527

Rainer Baule

University of Hagen ( email )

Universitaetsstrasse 41
Hagen, 58097
Germany

Michael Naumann (Contact Author)

University of Hagen ( email )

Universitätsstrasse 41
Hagen, 58097
Germany

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
25
Abstract Views
173
PlumX Metrics