Econometric Analysis of 15-Minute Intraday Electricity Prices

Item Type Monograph (Working Paper)
Abstract

The trading activity in the German intraday electricity market has increased significantly over the last years. This is partially due to an increasing share of renewable energy, wind and photovoltaic, which requires power generators to balance out the forecasting errors in their production. We investigate the bidding behavior in the intraday market by looking at both last prices and continuous bidding, in the context of a fundamental model. A unique data set of 15-minute intraday prices and intraday-updated forecasts of wind and photovoltaic has been employed and price bids are modelled by prior information on fundamentals. We show that intraday prices adjust asymmetrically to both forecasting errors in renewables and to the volume of trades dependent on the threshold variable demand quote, which reflects the expected demand covered by the planned traditional capacity in the day-ahead market. The location of the threshold can be used by market participants to adjust their bids accordingly, given the latest updates in the wind and photovoltaic forecasting errors and the forecasts of the control area balances.

Authors Kiesel, Rüdiger & Paraschiv, Florentina
Language English
Keywords Intraday Electricity Prices, Bidding Behavior, Renewable Energy, Forecasting Model
Subjects business studies
HSG Classification contribution to scientific community
Refereed No
Date 2015
Publisher SoF - HSG
Place of Publication St. Gallen
Series Name School of Finance Working Paper Series
Number 2015-21
Depositing User Prof. Dr. Florentina Paraschiv
Date Deposited 10 Nov 2015 10:52
Last Modified 23 Aug 2016 11:22
URI: https://www.alexandria.unisg.ch/publications/245307

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Citation

Kiesel, Rüdiger & Paraschiv, Florentina: Econometric Analysis of 15-Minute Intraday Electricity Prices. School of Finance Working Paper Series, 2015, 2015-21.

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https://www.alexandria.unisg.ch/id/eprint/245307
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