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Trading Volumes in Intraday Markets - Theoretical Reference Model and Empirical Observations in Selected European Markets

Author

Listed:
  • Simon Hagemann

    ()

  • Christoph Weber

    () (Chair for Management Sciences and Energy Economics, University of Duisburg-Essen)

Abstract

This paper presents an analytical benchmark model for national intraday adjustment needs under consideration of fundamental drivers, market concentration and portfolio internal netting. The benchmark model is used to calculate the intraday market outcomes if (i) large and small players as well as transmissions operators trade and (ii) only large players and transmission system operators trade. Transaction costs may prevent the competitive fringe from intraday market participation. The theoretical national intraday trading volumes are calculated with market data from three European countries with auction-based intraday markets (Italy, Portugal, Spain) and four countries with continuous intraday markets (Denmark, France, Germany, United Kingdom). The model results allow two main conclusions: The competitive fringe is not trading on exchanges in Denmark and France but in Germany. The second conclusion is that the high observed volumes in auction-based intraday markets cannot be explained by fundamentals or the auction-based design but are mainly caused by market peculiarities. The same result applies to the UK.

Suggested Citation

  • Simon Hagemann & Christoph Weber, 2015. "Trading Volumes in Intraday Markets - Theoretical Reference Model and Empirical Observations in Selected European Markets," EWL Working Papers 1503, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Apr 2015.
  • Handle: RePEc:dui:wpaper:1503
    as

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    Cited by:

    1. repec:eee:rensus:v:81:y:2018:i:p2:p:2181-2195 is not listed on IDEAS
    2. repec:eee:appene:v:195:y:2017:i:c:p:36-51 is not listed on IDEAS
    3. St├ęphane Goutte & Philippe Vassilopoulos, 2019. "The Value of Flexibility in Power Markets," Working Papers hal-01968081, HAL.
    4. repec:eee:eneeco:v:69:y:2018:i:c:p:367-378 is not listed on IDEAS

    More about this item

    Keywords

    Renewables market integration; Liquidity modeling; continuous and auction-based intraday markets;

    JEL classification:

    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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