Trading Volumes in Intraday Markets - Theoretical Reference Model and Empirical Observations in Selected European Markets

Simon Hagemann () and Christoph Weber ()
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Christoph Weber: Chair for Management Sciences and Energy Economics, University of Duisburg-Essen

No 1503, EWL Working Papers from University of Duisburg-Essen, Chair for Management Science and Energy Economics

Abstract: This paper presents an analytical benchmark model for national intraday adjustment needs under consideration of fundamental drivers, market concentration and portfolio internal netting. The benchmark model is used to calculate the intraday market outcomes if (i) large and small players as well as transmissions operators trade and (ii) only large players and transmission system operators trade. Transaction costs may prevent the competitive fringe from intraday market participation. The theoretical national intraday trading volumes are calculated with market data from three European countries with auction-based intraday markets (Italy, Portugal, Spain) and four countries with continuous intraday markets (Denmark, France, Germany, United Kingdom). The model results allow two main conclusions: The competitive fringe is not trading on exchanges in Denmark and France but in Germany. The second conclusion is that the high observed volumes in auction-based intraday markets cannot be explained by fundamentals or the auction-based design but are mainly caused by market peculiarities. The same result applies to the UK.

Keywords: Renewables market integration; Liquidity modeling; continuous and auction-based intraday markets (search for similar items in EconPapers)
JEL-codes: L94 Q41 (search for similar items in EconPapers)
Pages: 29
Date: 2015-04, Revised 2015-04
New Economics Papers: this item is included in nep-fmk and nep-mst
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:dui:wpaper:1503

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