Speculators and Price Inertia in a Day-Ahead Electricity Market: An Irish Case Study

Joseph Collins (), Andreas Amann and Kieran Mulchrone
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Joseph Collins: School of Mathematical Sciences, University College Cork, T12 YN60 Cork, Ireland
Andreas Amann: School of Mathematical Sciences, University College Cork, T12 YN60 Cork, Ireland
Kieran Mulchrone: School of Mathematical Sciences, University College Cork, T12 YN60 Cork, Ireland

Energies, 2025, vol. 18, issue 17, 1-26

Abstract: Short-term dynamics in auction-based Day-Ahead electricity markets remain insufficiently studied. This paper investigates two such aspects in the Irish Day-Ahead market. First, we address an empirical gap by examining the extent of speculator (financial trader) participation and its evolution over time in a European Day-Ahead setting. Using granular participant-level order and trade data, we quantify speculators’ share of overall market activity and assess how often they are marginal in the auction. Although their share of orders and trades is relatively small, speculators are marginal in a substantial proportion of trading periods and their behaviour changes significantly following a Brexit-related structural shift in market coupling. Second, we introduce a sensitivity-based measure of price inertia defined as the resistance of prices to small changes in demand or supply, adapted to the Day-Ahead auction context, a dimension of market behaviour that has received little prior attention. We find that inertia levels vary considerably and also shift following the structural change. Taken together, these analyses provide empirical evidence that speculators play a non-negligible role in a European auction-based Day-Ahead market, while price inertia offers an additional lens through which to examine short-term market dynamics and their evolution under different market conditions.

Keywords: electricity markets; Day-Ahead market; bid and ask curves; price inertia; speculators (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: 2025
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