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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Autores principales:	Rainer Baule, Michael Naumann
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	intraday electricity market renewable energies electricity price volatility electricity price dispersion Technology T
Acceso en línea:	https://doaj.org/article/84a2846eafbe48aaa6b8aaa2416aabfd
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spelling	oai:doaj.org-article:84a2846eafbe48aaa6b8aaa2416aabfd2021-11-25T17:26:21ZVolatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market10.3390/en142275311996-1073https://doaj.org/article/84a2846eafbe48aaa6b8aaa2416aabfd2021-11-01T00:00:00Zhttps://www.mdpi.com/1996-1073/14/22/7531https://doaj.org/toc/1996-1073Intraday 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.Rainer BauleMichael NaumannMDPI AGarticleintraday electricity marketrenewable energieselectricity price volatilityelectricity price dispersionTechnologyTENEnergies, Vol 14, Iss 7531, p 7531 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	intraday electricity market renewable energies electricity price volatility electricity price dispersion Technology T
spellingShingle	intraday electricity market renewable energies electricity price volatility electricity price dispersion Technology T Rainer Baule Michael Naumann Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market
description	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.
format	article
author	Rainer Baule Michael Naumann
author_facet	Rainer Baule Michael Naumann
author_sort	Rainer Baule
title	Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market
title_short	Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market
title_full	Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market
title_fullStr	Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market
title_full_unstemmed	Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market
title_sort	volatility and dispersion of hourly electricity contracts on the german continuous intraday market
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/84a2846eafbe48aaa6b8aaa2416aabfd
work_keys_str_mv	AT rainerbaule volatilityanddispersionofhourlyelectricitycontractsonthegermancontinuousintradaymarket AT michaelnaumann volatilityanddispersionofhourlyelectricitycontractsonthegermancontinuousintradaymarket
_version_	1718412359059374080

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

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