Frequent Auctions for Intraday Electricity Markets

34 Pages Posted: 20 Apr 2022

See all articles by Christoph Graf

Christoph Graf

Stanford University - Department of Economics

Thomas Kuppelwieser

affiliation not provided to SSRN

David Wozabal

TUM School of Management,Technical University of Munich

Date Written: April 11, 2022

Abstract

Continuous trading is currently becoming the standard for intraday electricity markets. In this paper, we propose frequent auctions as a viable alternative. We argue that batching orders in auctions potentially leads to lower liquidity cost, more reliable, less noisy price signals, and allows for better alignment of market outcomes with the technical realities of the grid. In an empirical study, we compare the German continuous intraday market with counter-factual outcomes from frequent auctions. We find that while traded volumes tend to be higher for continuous trading, liquidity costs are lower and price signals contain less noise for the auction market. Furthermore, we critically discuss the suitability of continuous trading in the presence of network constraints and technical restrictions of conventional units. Taken together these findings suggest that in sparsely traded intraday markets, pooling orders in frequent auctions may be beneficial.

Keywords: Intraday power markets, frequent auctions, continuous trading, market design, electricity markets

JEL Classification: G1, L1, Q4

Suggested Citation

Graf, Christoph and Kuppelwieser, Thomas and Wozabal, David, Frequent Auctions for Intraday Electricity Markets (April 11, 2022). Available at SSRN: https://ssrn.com/abstract=4080555 or http://dx.doi.org/10.2139/ssrn.4080555

Christoph Graf

Stanford University - Department of Economics ( email )

Landau Economics Building
579 Serra Mall
STANFORD, CA 94305-6072
United States

Thomas Kuppelwieser

affiliation not provided to SSRN

David Wozabal (Contact Author)

TUM School of Management,Technical University of Munich ( email )

Arcisstrasse 21
Munchen, 80333
Germany

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