Intraday Electricity Pricing of Night Contracts

15 Pages Posted: 16 Sep 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: August 4, 2020

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

Suggested Citation

Kremer, Marcel and Kiesel, Ruediger and Paraschiv, Florentina, Intraday Electricity Pricing of Night Contracts (August 4, 2020). Available at SSRN: https://ssrn.com/abstract=3666485 or http://dx.doi.org/10.2139/ssrn.3666485

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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