An Econometric Model for Intraday Electricity Trading

Philosophical Transactions of the Royal Society A, Forthcoming

26 Pages Posted: 31 Dec 2019 Last revised: 3 Aug 2020

See all articles by Marcel Kremer

Marcel Kremer

University of Duisburg-Essen

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: May 11, 2020

Abstract

This paper develops an econometric price model with fundamental impacts for intraday electricity markets of 15-minute contracts. A unique data set of intradaily updated forecasts of renewable power generation is analyzed. We use a threshold regression model to examine how 15-minute 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-minute contracts. Additionally, prices of neighboring 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-minute intraday trading.

Keywords: Intraday electricity market; Econometric modeling; 15-minute contracts; Renewable power forecasts; Merit order curve; Threshold regression

JEL Classification: C22; C24; C55; G10; Q20; Q21; Q40; Q41; Q42

Suggested Citation

Kremer, Marcel and Kiesel, Ruediger and Paraschiv, Florentina, An Econometric Model for Intraday Electricity Trading (May 11, 2020). Philosophical Transactions of the Royal Society A, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3489214 or http://dx.doi.org/10.2139/ssrn.3489214

Marcel Kremer (Contact Author)

University of Duisburg-Essen ( email )

Universitaetsstrasse 12
Essen, 45141
Germany

HOME PAGE: http://www.lef.wiwi.uni-due.de/en/team/marcel-kremer/

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

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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