Flexible Short-Term Electricity Certificates—An Analysis of Trading Strategies on the Continuous Intraday Market

Rainer Baule and Michael Naumann ()
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Rainer Baule: Chair of Banking and Finance, University of Hagen, Universitätsstraße 41, 58084 Hagen, Germany
Michael Naumann: Chair of Banking and Finance, University of Hagen, Universitätsstraße 41, 58084 Hagen, Germany

Energies, 2022, vol. 15, issue 17, 1-28

Abstract: The most important price for short-term electricity trading in Germany is the day-ahead auction price, which is provided by EPEX SPOT. Basically, short-term fluctuating electricity prices allow cost-optimized production planning by shifting electricity-intensive processes to times of favorable electricity prices. However, the day-ahead price as the outcome of an auction is not directly tradeable afterwards. We propose short-term flexible electricity certificates that pass on the day-ahead auction prices plus a premium for the supplier, enabling users to plan electricity consumption based on realized day-ahead auction prices. We analyze the supplier’s problem of delivering electricity based on such certificates. The supplier can adjust the required electricity volume after the close of the day-ahead auction on the continuous intraday market. We analyze the price fluctuations in this market in relation to the day-ahead price and propose different trading strategies. Using the order book history of EPEX SPOT, we analyze the trading success and risk of these strategies. Furthermore, we investigate to what extent trading success can be explained by changes in market conditions, and, in particular, we identify renewable forecast errors as a driver.

Keywords: intraday electricity market; day-ahead market; renewable energies; electricity prices; bidding strategies (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: 2022
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