dc.contributor.author | Kremer, Marcel | |
dc.contributor.author | Kiesel, Rüdiger | |
dc.contributor.author | Paraschiv, Florentina | |
dc.date.accessioned | 2021-03-18T08:40:51Z | |
dc.date.available | 2021-03-18T08:40:51Z | |
dc.date.created | 2019-12-09T10:32:02Z | |
dc.date.issued | 2020 | |
dc.identifier.issn | 1364-503X | |
dc.identifier.uri | https://hdl.handle.net/11250/2734063 | |
dc.description.abstract | This paper develops an econometric price model with fundamental impacts for intraday electricity markets of 15-minute contracts. A unique data set of intradaily updated forecasts of renewable power generation is analyzed. We use a threshold regression model to examine how 15-minute 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-minute contracts. Additionally, prices of neighboring 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-minute intraday trading. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | The Royal Society | en_US |
dc.title | A Fundamental Model for Continuous Intraday Electricity Trading | en_US |
dc.type | Peer reviewed | en_US |
dc.type | Journal article | en_US |
dc.description.version | acceptedVersion | en_US |
dc.source.journal | Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences | en_US |
dc.identifier.doi | 10.2139/ssrn.3489214 | |
dc.identifier.cristin | 1758102 | |
dc.description.localcode | © 2020. This is the authors' accepted and refereed manuscript to the article. | en_US |
cristin.unitcode | 194,60,10,0 | |
cristin.unitname | NTNU Handelshøyskolen | |
cristin.ispublished | false | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |