 Exogenous factors for order arrivals on the intraday electricity marketAnke Kramer and Rüdiger Kiesel Energy Economics, 2021, vol. 97, issue C 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 energy or the activated volume on the balancing market. The model parameters are estimated by a maximum likelihood 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. Keywords: Intraday electricity market; Order arrivals; Exogenous factors; Self-exciting; Point process; Maximum likelihood estimation (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000918 DOI: 10.1016/j.eneco.2021.105186 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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