A Fundamental Model for Intraday Electricity Trading

Intraday Electricity Pricing of Night Contracts

“…Ref. [6] refine their model and illustrate that the intraday pricing process depends on the regime of the merit order curve. Moreover, they identify prices of neighboring contracts as important price drivers of 15-min.…”

“…Empirical evidence suggests that 15-min. intraday prices exhibit a sawtooth-shaped hourly seasonality on average, on both the continuous intraday market [5,6] and intraday auction [7]. While during the day, the hourly price seasonality can be explained by the electricity generation from solar energy, solar power supply cannot justify the seasonality pattern during night hours.…”

“…Our starting point is the work of [6], who develop an econometric price model with fundamental impacts for intraday electricity markets of daytime 15-min. contracts.…”

“…The literature concerned with intraday electricity trading can be classified into five major strands: Refs. [5,6,8,9] determine price drivers on the intraday market based on trading-related and fundamental factors; Refs. [10][11][12][13] examine the impact of renewable power generation and its forecast errors on intraday electricity prices; Refs.…”

“…contracts in night hours. In Section 3, we present a tailor-made version of the econometric model by [6] for night contracts and the threshold regression. In Section 4, we calibrate the econometric model to market data and discuss our estimation results.…”