Intraday Electricity Pricing of Night Contracts

Abstract

This paper investigates the intraday electricity pricing of 15-min. 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 the mean reversion and the positive price impact 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-min. 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-min. intraday market is rather driven by price information.

An econometric model for intraday electricity trading

“…For contracts H20Q1–H1Q4, the average price of the first and last quarter-hourly contract within an hour is highest and lowest, respectively, while for contracts H4Q1–H6Q4, this is reversed. The hourly seasonality at night stems from the electricity demand profile in conjunction with established hourly delivery positions from the day-ahead auction (see [17] for a detailed discussion).…”

“…However, the U-shaped hourly seasonality of trading volumes is persistent during off-peak hours. The hourly seasonality at night results from the electricity demand profile along with established hourly day-ahead positions [17].…”

Analysing Trading Trends in Continuous Intraday Electricity Markets

“…In [11], the continuous intraday prices are predicted for the EPEX SPOT, using shallow learning techniques while an LSTM (Long short-term memory)-based deep learning architecture is utilized for the prediction of spot prices. In [12], the CID pricing of night contracts (15-min Delivery Products) is analysed, with ID auction prices found to have a significant explanatory effect on the night contracts specifically. The issue of deciding on the optimal explanatory variables for forecasting ID prices is considered in [13], where the German EPEX market data is utilized.…”

Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market

“…With regard to volatility, they used data from observed trades for a 15-min contract and calculated the difference between consecutive prices as the basis for price fluctuations. Further price analysis of 15-min contracts was also performed by [20,21]. Forecasting price distributions of hourly contracts over quantiles that occur in the last 3 h before delivery was the focus of [22].…”