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A Survey on the Spanish Electricity Intraday Market/El mercado de electricidad español: el mercado intradiario



    (Departamento de Economía Financiera y Actuarial, UNIVERSIDAD DE VALENCIA, ESPAÑA.)

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    The Spanish electricity intraday market presents a particular design that makes it unique in Europe. The study is carried out on an hourly basis in order to identify hourly patterns in prices and traded quantities by session. The study evidences an overall growing interest from market participants in intraday trading, particularly in the last-time-negotiated hours. Prices exhibit hourly and daily seasonality as well as mean reversion. Going in depth into the analysis of the current electricity intraday markets is of great relevance nowadays given that there is an open debate concerning the optimal design for intraday markets all over Europe as a consequence of the wholehearted integration of renewables into the power system. El diseño del mercado intradiario de electricidad español no se repite en ningún otro mercado eléctrico europeo. El presente trabajo analiza precios y cantidades negociadas utilizando una frecuencia horaria con el fin de identificar pautas de comportamiento horarios en este mercado. Se evidencia en general un interés creciente por parte de los participantes en el mercado, especialmente en las horas de última posibilidad de negociación. Los precios presentan estacionalidad tanto horaria como diaria así como reversión a la media. La profundización en el análisis de los mercados intradiarios de electricidad existentes es un tema que reviste una gran importancia dado que actualmente existe un debate abierto en relación al diseño óptimo de los mercados intradiarios en Europa como consecuencia de la decidida incorporación de las energías renovables en el sistema eléctrico.

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    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 29 (2011)
    Issue (Month): (Agosto)
    Pages: 657 (20 pags.)

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    Handle: RePEc:lrk:eeaart:29_2_13
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    1. Huisman, R. & Huurman, C. & Mahieu, R.J., 2007. "Hourly Electricity Prices in Day-Ahead Markets," ERIM Report Series Research in Management ERS-2007-002-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    2. Cartea, Álvaro & Villaplana, Pablo, 2008. "Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2502-2519, December.
    3. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Forecasting electricity prices: The impact of fundamentals and time-varying coefficients," International Journal of Forecasting, Elsevier, vol. 24(4), pages 764-785.
    4. Muñoz, M. Pilar & Dickey, David A., 2009. "Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case," Energy Economics, Elsevier, vol. 31(6), pages 857-866, November.
    5. Norouzzadeh, P. & Dullaert, W. & Rahmani, B., 2007. "Anti-correlation and multifractal features of Spain electricity spot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 333-342.
    6. Francis A. Longstaff & Ashley W. Wang, 2004. "Electricity Forward Prices: A High-Frequency Empirical Analysis," Journal of Finance, American Finance Association, vol. 59(4), pages 1877-1900, 08.
    7. Bushnell, James & Wolfram, Catherine, 2008. "Electricity Markets," Staff General Research Papers 31547, Iowa State University, Department of Economics.
    8. Alvaro Escribano & Juan Ignacio Peña & Pablo Villaplana, 2002. "Modeling Electricity Prices: International Evidence," Economics Working Papers we022708, Universidad Carlos III, Departamento de Economía.
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