Liquidity costs on intraday power markets: Continuous trading versus auctions

Thomas Kuppelwieser and David Wozabal

Energy Policy, 2021, vol. 154, issue C

Abstract: We analyze liquidity costs on continuous and auction-based intraday power markets using a cost-of-round-trip measure that works for both market designs. We use data from the Italian auction-based intraday market and the German continuous market and present descriptive statistics as well as multivariate regression models to analyze determinants of liquidity costs in both markets. To test for differences in liquidity due to market design, we employ a double machine learning technique controlling for several confounding variables. We show that weekly patterns, yearly seasonality, electricity demand, as well as the influence of temperatures significantly affect liquidity costs. Comparing liquidity costs in both market, we find that, overall, liquidity costs are lower on the Italian market. However, Italian costs increase towards later auctions, while the costs on the German continuous intraday market decrease and reach their low close to physical delivery, where costs are lower than on the last Italian market trading the corresponding products.

Keywords: Continuous market; Auction market; EPEX SPOT; GME MI; Double machine learning (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:154:y:2021:i:c:s0301421521001683

DOI: 10.1016/j.enpol.2021.112299

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