Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market

Intraday electricity trading on the continuous intraday market of EPEX SPOT is particularly well suited for the rebalancing of energy production. We analyzed the volatility and dispersion of individual hourly contracts, taking into account the particularities of the market, due to which the standard...
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Autor*in:	Rainer Baule [verfasserIn] Michael Naumann [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2021

Schlagwörter:	intraday electricity market renewable energies electricity price volatility electricity price dispersion

Übergeordnetes Werk:	In: Energies - MDPI AG, 2008, 14(2021), 22, p 7531
Übergeordnetes Werk:	volume:14 ; year:2021 ; number:22, p 7531

Links:	Link aufrufen Link aufrufen Link aufrufen Journal toc

DOI / URN:	10.3390/en14227531

Katalog-ID:	DOAJ079170277

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language	English
source	In Energies 14(2021), 22, p 7531 volume:14 year:2021 number:22, p 7531
sourceStr	In Energies 14(2021), 22, p 7531 volume:14 year:2021 number:22, p 7531
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authorswithroles_txt_mv	Rainer Baule @@aut@@ Michael Naumann @@aut@@
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author	Rainer Baule
spellingShingle	Rainer Baule misc intraday electricity market misc renewable energies misc electricity price volatility misc electricity price dispersion misc Technology misc T Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market
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topic_title	Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market intraday electricity market renewable energies electricity price volatility electricity price dispersion
topic	misc intraday electricity market misc renewable energies misc electricity price volatility misc electricity price dispersion misc Technology misc T
topic_unstemmed	misc intraday electricity market misc renewable energies misc electricity price volatility misc electricity price dispersion misc Technology misc T
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title	Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market
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title_sort	volatility and dispersion of hourly electricity contracts on the german continuous intraday market
title_auth	Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market
abstract	Intraday electricity trading on the continuous intraday market of EPEX SPOT is particularly well suited for the rebalancing of energy production. We analyzed the volatility and dispersion of individual hourly contracts, taking into account the particularities of the market, due to which the standard volatility measure from financial time series cannot be applied. We used and analyzed five measures for price fluctuations, which turned out to be similarly well suited for electricity contracts, with small differences. We then identified fundamental drivers of price fluctuations: the relative share of wind in the overall mix increased dispersion. In addition, price dispersion was positively correlated with the traded volume as well as the absolute difference between the day-ahead auction price and the volume-weighted intraday price. We furthermore analyzed the timely structure of price fluctuations to identify forecast indicators for a contract’s peak trading hour before maturity, finding that trading-related variables are more important to forecast price fluctuations than fundamental factors. With lagged realizations and additional external drivers, forecast regressions reached an adjusted <inline-formula<<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"<<semantics<<msup<<mi<R</mi<<mn<2</mn<</msup<</semantics<</math<</inline-formula< of 0.479 for volatility and around 0.3 for the dispersion measures.
abstractGer	Intraday electricity trading on the continuous intraday market of EPEX SPOT is particularly well suited for the rebalancing of energy production. We analyzed the volatility and dispersion of individual hourly contracts, taking into account the particularities of the market, due to which the standard volatility measure from financial time series cannot be applied. We used and analyzed five measures for price fluctuations, which turned out to be similarly well suited for electricity contracts, with small differences. We then identified fundamental drivers of price fluctuations: the relative share of wind in the overall mix increased dispersion. In addition, price dispersion was positively correlated with the traded volume as well as the absolute difference between the day-ahead auction price and the volume-weighted intraday price. We furthermore analyzed the timely structure of price fluctuations to identify forecast indicators for a contract’s peak trading hour before maturity, finding that trading-related variables are more important to forecast price fluctuations than fundamental factors. With lagged realizations and additional external drivers, forecast regressions reached an adjusted <inline-formula<<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"<<semantics<<msup<<mi<R</mi<<mn<2</mn<</msup<</semantics<</math<</inline-formula< of 0.479 for volatility and around 0.3 for the dispersion measures.
abstract_unstemmed	Intraday electricity trading on the continuous intraday market of EPEX SPOT is particularly well suited for the rebalancing of energy production. We analyzed the volatility and dispersion of individual hourly contracts, taking into account the particularities of the market, due to which the standard volatility measure from financial time series cannot be applied. We used and analyzed five measures for price fluctuations, which turned out to be similarly well suited for electricity contracts, with small differences. We then identified fundamental drivers of price fluctuations: the relative share of wind in the overall mix increased dispersion. In addition, price dispersion was positively correlated with the traded volume as well as the absolute difference between the day-ahead auction price and the volume-weighted intraday price. We furthermore analyzed the timely structure of price fluctuations to identify forecast indicators for a contract’s peak trading hour before maturity, finding that trading-related variables are more important to forecast price fluctuations than fundamental factors. With lagged realizations and additional external drivers, forecast regressions reached an adjusted <inline-formula<<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"<<semantics<<msup<<mi<R</mi<<mn<2</mn<</msup<</semantics<</math<</inline-formula< of 0.479 for volatility and around 0.3 for the dispersion measures.
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title_short	Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market
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Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market

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