Next Article in Journal
Experimental Analysis of an Air Heat Pump for Heating Service Using a “Hardware-In-The-Loop” System
Next Article in Special Issue
Forecasting Electricity Prices Using Deep Neural Networks: A Robust Hyper-Parameter Selection Scheme
Previous Article in Journal
Artificial Neural Network for the Thermal Comfort Index Prediction: Development of a New Simplified Algorithm
Previous Article in Special Issue
Predictive Trading Strategy for Physical Electricity Futures

Intraday Electricity Pricing of Night Contracts

Chair for Energy Trading and Finance, University of Duisburg-Essen, Universitätsstraße 12, 45141 Essen, Germany
NTNU Business School, Norwegian University of Science and Technology, 7491 Trondheim, Norway
Institute for Operations Research and Computational Finance, University of St. Gallen, Bodanstrasse 6, CH-9000 St. Gallen, Switzerland
Author to whom correspondence should be addressed.
Energies 2020, 13(17), 4501;
Received: 31 July 2020 / Revised: 26 August 2020 / Accepted: 27 August 2020 / Published: 1 September 2020
(This article belongs to the Special Issue Uncertainties and Risk Management in Competitive Energy Markets)
This paper investigates the intraday electricity pricing of 15-min. contracts in night hours. We tailor a recently introduced econometric model with fundamental impacts, which is successful in describing the pricing of day contracts. Our estimation results show that the mean reversion and the positive price impact of neighboring contracts are generic features of the price formation process on the intraday market, independent of the time of day. Intraday auction prices have higher explanatory power for the pricing of night than day contracts, particularly, for the first and last 15-min. contract in a night hour. Intradaily updated forecasts of wind power infeed are the only significant fundamental factors for intraday electricity prices at night. Neither expected conventional capacities nor the slope of the merit order curve contribute to explaining price dynamics. Overall, we conclude that fundamentals lose in importance in night hours and the 15-min. intraday market is rather driven by price information. View Full-Text
Keywords: intraday electricity market; econometric modeling; night contracts; 15-min. contracts; fundamentals; renewable power forecasts intraday electricity market; econometric modeling; night contracts; 15-min. contracts; fundamentals; renewable power forecasts
Show Figures

Figure 1

MDPI and ACS Style

Kremer, M.; Kiesel, R.; Paraschiv, F. Intraday Electricity Pricing of Night Contracts. Energies 2020, 13, 4501.

AMA Style

Kremer M, Kiesel R, Paraschiv F. Intraday Electricity Pricing of Night Contracts. Energies. 2020; 13(17):4501.

Chicago/Turabian Style

Kremer, Marcel, Rüdiger Kiesel, and Florentina Paraschiv. 2020. "Intraday Electricity Pricing of Night Contracts" Energies 13, no. 17: 4501.

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

Back to TopTop