The European intraday electricity market: a modeling based on the Hawkes process

Benjamin Favetto ()
Additional contact information
Benjamin Favetto: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

Abstract: This article deals with the modeling of the trading activity on the European electricity intraday market by a self-exciting point process (also known as Hawkes process). It gives some empirical evidence of self-excitement, and discuss the time-homogeneity of the baseline of the process. The question of the functional shape of the intensity kernel is also adressed. Finally, a parameter estimation procedure is derived for the model with a non-constant baseline.

Keywords: European electricity intraday market; Self-exciting point process; change-point detection; parameter estimation (search for similar items in EconPapers)
Date: 2019-04-16
New Economics Papers: this item is included in nep-ene, nep-mst and nep-reg
Note: View the original document on HAL open archive server: https://hal.science/hal-02089289v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://hal.science/hal-02089289v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-02089289

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().