Intraday Electricity Pricing of Night Contracts

Marcel Kremer, Rüdiger Kiesel and Florentina Paraschiv
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Marcel Kremer: Chair for Energy Trading and Finance, University of Duisburg-Essen, Universitätsstraße 12, 45141 Essen, Germany
Rüdiger Kiesel: Chair for Energy Trading and Finance, University of Duisburg-Essen, Universitätsstraße 12, 45141 Essen, Germany
Florentina Paraschiv: NTNU Business School, Norwegian University of Science and Technology, 7491 Trondheim, Norway

Energies, 2020, vol. 13, issue 17, 1-14

Abstract: This paper investigates the intraday electricity pricing of 15-min. contracts in night hours. We tailor a recently introduced econometric model with fundamental impacts, which is successful in describing the pricing of day contracts. Our estimation results show that the mean reversion and the positive price impact of neighboring contracts are generic features of the price formation process on the intraday market, independent of the time of day. Intraday auction prices have higher explanatory power for the pricing of night than day contracts, particularly, for the first and last 15-min. contract in a night hour. Intradaily updated forecasts of wind power infeed are the only significant fundamental factors for intraday electricity prices at night. Neither expected conventional capacities nor the slope of the merit order curve contribute to explaining price dynamics. Overall, we conclude that fundamentals lose in importance in night hours and the 15-min. intraday market is rather driven by price information.

Keywords: intraday electricity market; econometric modeling; night contracts; 15-min. contracts; fundamentals; renewable power forecasts (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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