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Intraday Markets for Power: Discretizing the Continuous Trading?

Author

Listed:
  • Karsten Neuhoff

    (German Institute for Economic Research (DIW Berlin), Department of Climate Policy, Berlin)

  • Nolan Ritter

    (German Institute for Economic Research (DIW Berlin), Department of Climate Policy, Berlin)

  • Aymen SalahAbou-El-Enien

    (EPEX Spot SE, Product Design, Paris)

  • Philippe Vassilopoulos

    (EPEX Spot SE, Product Design, Paris)

Abstract

A fundamental question regarding the design of electricity markets is whether adding auctions to the continuous intraday trading is improving the performance of the market. To approach this question, we assess the experience with the implementation of the 3 pm local auction for quarters in Germany at the European Power Exchange (EPEX SPOT) in December 2014 to assess the impact on trading volumes/liquidity, prices, as well as market depth. We discuss further opportunities and challenges that are linked with a potential implementation of an intraday auction.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Karsten Neuhoff & Nolan Ritter & Aymen SalahAbou-El-Enien & Philippe Vassilopoulos, 2016. "Intraday Markets for Power: Discretizing the Continuous Trading?," Working Papers EPRG 1609, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
    • Handle: RePEc:enp:wpaper:eprg1609
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    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C57 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Econometrics of Games and Auctions
    • C93 - Mathematical and Quantitative Methods - - Design of Experiments - - - Field Experiments
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
    • L50 - Industrial Organization - - Regulation and Industrial Policy - - - General

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