Type of Publication: Article in Journal

Exogenous factors for order arrivals on the intraday electricity market

Author(s):

Kramer, A.; Kiesel, R.

Title of Journal:

Energy Economics

Volume (Publication Date):

97 (2021)

Number of Issue:

105186

pages:

1-14

Digital Object Identifier (DOI):

doi:10.1016/j.eneco.2021.105186

Link to complete version:

https://www.sciencedirect.com/science/article/pii/S0140988321000918?via%3Dihub

Citation:

Download BibTeX

Abstract

We examine if the trading activity on the German intraday electricity market is linked to fundamental as well as market-induced factors. Thus, we propose a novel point process model in which the intensity process of order arrivals consists of a self-exciting term and additional exogenous factors, such as the production of renewable en- ergy or the activated volume on the balancing market. The model parameters are estimated by a maximum like- lihood approach that explicitly accounts for such factor processes. By comparing the proposed model to several nested models, we investigate whether adding the exogenous factors significantly increases the accuracy of the model fit. We find that intensity processes that only take into account exogenous factors are improved if we add a self-exciting term. On the other hand, to capture the market dynamics correctly, pure self-exciting models need to be extended such that they additionally account for exogenous impacts.