Econometric Analysis of 15-minute Intraday Electricity Prices

Ruediger Kiesel and Florentina Paraschiv

No 1521, Working Papers on Finance from University of St. Gallen, School of Finance

Abstract: The trading activity in the German intraday electricity market has increased significantly over the last years. This is partially due to an increasing share of renewable energy, wind and photovoltaic, which requires power generators to balance out the forecasting errors in their production. We investigate the bidding behavior in the intraday market by looking at both last prices and continuous bidding, in the context of a fundamental model. A unique data set of 15-minute intraday prices and intraday-updated forecasts of wind and photovoltaic has been employed and price bids are modelled by prior information on fundamentals. We show that intraday prices adjust asymmetrically to both forecasting errors in renewables and to the volume of trades dependent on the threshold variable demand quote, which reflects the expected demand covered by the planned traditional capacity in the day-ahead market. The location of the threshold can be used by market participants to adjust their bids accordingly, given the latest updates in the wind and photovoltaic forecasting errors and the forecasts of the control area balances.

Keywords: Intraday Electricity Prices; Bidding Behavior; Renewable Energy; Forecasting Model (search for similar items in EconPapers)
Pages: 41 pages
Date: 2015-10
New Economics Papers: this item is included in nep-ene, nep-for, nep-mst and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Journal Article: Econometric analysis of 15-minute intraday electricity prices (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:usg:sfwpfi:2015:21

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