Modeling Intraday Markets under the New Advances of the Cross-Border Intraday Project (XBID): Evidence from the German Intraday Market

Christopher Kath
Additional contact information
Christopher Kath: University of Duisburg-Essen, 45141 Essen, Germany

Energies, 2019, vol. 12, issue 22, 1-35

Abstract: The intraday cross-border project (XBID) allows intraday market participants to trade based on a shared order book independent of countries or local energy exchanges. This theoretically leads to an efficient allocation of cross-border capacities and ensures maximum market liquidity across European intraday markets. If this postulation holds, the technical implementation of XBID might mark a regime switch in any intraday price series. We present a regression-based model for intraday markets with a particular focus on the German European Power Exchange (EPEX) intraday market and evaluate if the introduction of XBID influence prices, volume or volatility. We analyze partial volume-weighted average prices and standard deviations as well as cross-border volumes at different trading times. We are able to falsify our initial hypothesis assuming a measurable influence of changes caused by XBID. Thus, this paper contributes to the ongoing discussion on appropriate modeling of intraday markets and demonstrates that XBID does not necessarily need to be included in any model.

Keywords: Intraday electricity market; regression models; European power market integration; continuous trading; machine learning; fundamental models; electricity prices (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: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
https://www.mdpi.com/1996-1073/12/22/4339/pdf (application/pdf)
https://www.mdpi.com/1996-1073/12/22/4339/ (text/html)

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:gam:jeners:v:12:y:2019:i:22:p:4339-:d:286894

Access Statistics for this article

Energies is currently edited by Ms. Agatha Cao

More articles in Energies from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().