IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

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

  • FURIÓ, DOLORES

    ()

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

Registered author(s):

    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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.revista-eea.net
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    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.)

    as
    in new window

    Handle: RePEc:lrk:eeaart:29_2_13
    Contact details of provider: Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN
    Phone: (34) 983 423320
    Fax: (34) 983 184568
    Web page: http://www.revista-eea.net

    More information through EDIRC

    Order Information: Web: http://www.revista-eea.net Email:


    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. repec:ner:tilbur:urn:nbn:nl:ui:12-3131737 is not listed on IDEAS
    2. 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.
    3. 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.
    4. Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011. "Modelling Electricity Prices: International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
    5. 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.
    6. Bushnell, James & Wolfram, Catherine, 2008. "Electricity Markets," Staff General Research Papers 31547, Iowa State University, Department of Economics.
    7. Huisman, Ronald & Huurman, Christian & Mahieu, Ronald, 2007. "Hourly electricity prices in day-ahead markets," Energy Economics, Elsevier, vol. 29(2), pages 240-248, March.
    8. 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.
    9. 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.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:lrk:eeaart:29_2_13. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beatriz Rodríguez Prado)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.