An econometric model for intraday electricity trading

被引：18

作者：

Kremer, Marcel ^{[1
]}

Kiesel, Rudiger ^{[1
,2
]}

Paraschiv, Florentina ^{[3
,4
]}

机构：

[1] Univ Duisburg Essen, Chair Energy Trading & Finance, Univ Str 12, D-45141 Essen, Germany

[2] Univ Oslo, Dept Math, POB 1053 Blindern, N-0316 Oslo, Norway

[3] Norwegian Univ Sci & Technol, NTNU Business Sch, N-7491 Trondheim, Norway

[4] Univ St Gallen, Inst Operat Res & Computat Finance, Bodanstr 6, CH-9000 St Gallen, Switzerland

来源：

PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES | 2021年 / 379卷 / 2202期

基金：

英国工程与自然科学研究理事会; 欧盟地平线“2020”;

关键词：

intraday electricity market; econometric modelling; 15-min contracts; renewable power forecasts; merit order curve; threshold regression; PRICES; MARKET;

D O I：

10.1098/rsta.2019.0624

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

This paper develops an econometric price model with fundamental impacts for intraday electricity markets of 15-min contracts. A unique dataset of intradaily updated forecasts of renewable power generation is analysed. We use a threshold regression model to examine how 15-min intraday trading depends on the slope of the merit order curve. Our estimation results reveal strong evidence of mean reversion in the price formation mechanism of 15-min contracts. Additionally, prices of neighbouring contracts exhibit strong explanatory power and a positive impact on prices of a given contract. We observe an asymmetric effect of renewable forecast changes on intraday prices depending on the merit-order-curve slope. In general, renewable forecasts have a higher explanatory power at noon than in the morning and evening, but price information is the main driver of 15-min intraday trading. This article is part of the theme issue 'The mathematics of energy systems'.

引用

页数：17