Intraday Electricity Pricing of Night Contracts

Abstract

This paper investigates the intraday electricity pricing of 15-minute contracts in night hours. We tailor a recently introduced econometric model with fundamental impacts, which is successful in describing the pricing of day contracts. Our estimation results show that mean reversion and the positive price effect of neighboring contracts are generic features of the price formation process on the intraday market, independent of the time of day. Intraday auction prices have higher explanatory power for the pricing of night than day contracts, particularly, for the first and last 15-minute contract in a night hour. Intradaily updated forecasts of wind power infeed are the only significant fundamental factors for intraday electricity prices at night. Neither expected conventional capacities nor the slope of the merit order curve contribute to explaining price dynamics. Overall, we conclude that fundamentals lose in importance in night hours and the 15-minute intraday market is rather driven by price information.

Keywords: Intraday electricity market, Econometric modeling, Night contracts, 15-minute contracts, Fundamentals, Renewable power forecasts

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