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Intraday Electricity Pricing of Night Contracts

Author

Listed:
  • Marcel Kremer

    (Chair for Energy Trading and Finance, University of Duisburg-Essen, Universitätsstraße 12, 45141 Essen, Germany)

  • Rüdiger Kiesel

    (Chair for Energy Trading and Finance, University of Duisburg-Essen, Universitätsstraße 12, 45141 Essen, Germany)

  • Florentina Paraschiv

    (NTNU Business School, Norwegian University of Science and Technology, 7491 Trondheim, Norway
    Institute for Operations Research and Computational Finance, University of St. Gallen, Bodanstrasse 6, CH-9000 St. Gallen, Switzerland)

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.

Suggested Citation

  • Marcel Kremer & Rüdiger Kiesel & Florentina Paraschiv, 2020. "Intraday Electricity Pricing of Night Contracts," Energies, MDPI, vol. 13(17), pages 1-14, September.
    • Handle: RePEc:gam:jeners:v:13:y:2020:i:17:p:4501-:d:406944
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    References listed on IDEAS

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    Cited by:

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    3. Florentina Paraschiv & Dima Mohamad, 2020. "The Nuclear Power Dilemma—Between Perception and Reality," Energies, MDPI, vol. 13(22), pages 1-19, November.
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    5. Narajewski, Michał & Ziel, Florian, 2022. "Optimal bidding in hourly and quarter-hourly electricity price auctions: Trading large volumes of power with market impact and transaction costs," Energy Economics, Elsevier, vol. 110(C).
    6. Rainer Baule & Michael Naumann, 2021. "Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market," Energies, MDPI, vol. 14(22), pages 1-24, November.

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