Change of persistence in European electricity spot prices

Leonardo Rydin Gorj\~ao, Dirk Witthaut, Pedro G. Lind and Wided Medjroubi

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Abstract: The European Power Exchange has introduced day-ahead auctions and continuous trading spot markets to facilitate the insertion of renewable electricity. These markets are designed to balance excess or lack of power in short time periods, which leads to a large stochastic variability of the electricity prices. Furthermore, the different markets show different stochastic memory in their electricity price time series, which seem to be the cause for the large volatility. In particular, we show the antithetical temporal correlation in the intraday 15 minutes spot markets in comparison to the day-ahead hourly market. We contrast the results from Detrended Fluctuation Analysis (DFA) to a new method based on the Kramers--Moyal equation in scale. For very short term ($ 0.5$) except for the intraday 15 minute market, which shows strong negative correlations ($H

Date: 2021-12
New Economics Papers: this item is included in nep-ene
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