Modeling Market Order Arrivals on the German Intraday Electricity Market With the Hawkes Process

24 Pages Posted: 26 Feb 2020 Last revised: 2 Mar 2020

See all articles by Nikolaus Graf von Luckner

Nikolaus Graf von Luckner

University of Duisburg-Essen

Ruediger Kiesel

University of Duisburg-Essen - Faculty of Economic Science

Date Written: February 28, 2020

Abstract

We analyze market order arrivals on the intraday market for hourly electricity deliveries in Germany. As we distinguish between buys and sells, we work in a multivariate setting. We model the arrivals with a Hawkes process with exponentially increasing baseline intensity and exponentially decaying excitements. Our goodness-of-fit tests indicate that the models where the conditional intensity of each market order type is excited at least by events of the same type are the most promising ones. Based on the Akaike information criterion, models with only self-excitement are selected slightly more often than models with self and cross-excitement. The typical jump size of the conditional intensities in case of the arrival of a market order of the same type is quite large yet rather short-lived. Diurnal patterns in the parameters of the baseline intensity and the branching ratio of the self-excitement are easily observable. Relationships between different parameters such as the jump size and decay rate of self and cross-excitement are found.

Keywords: Hawkes process, model selection, parameter interpretation, contemporaneous relationship, intraday electricity market

JEL Classification: C12, C13, C30, C51, C52, Q41

Suggested Citation

Graf von Luckner, Nikolaus and Kiesel, Ruediger, Modeling Market Order Arrivals on the German Intraday Electricity Market With the Hawkes Process (February 28, 2020). Available at SSRN: https://ssrn.com/abstract=3526795 or http://dx.doi.org/10.2139/ssrn.3526795

Nikolaus Graf von Luckner (Contact Author)

University of Duisburg-Essen ( email )

Universitätsstrasse 2
Essen, 45141
Germany

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

Ruediger Kiesel

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

Essen, 45117
Germany

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

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