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Article

Intraday Electricity Pricing of Night Contracts

1
Chair for Energy Trading and Finance, University of Duisburg-Essen, Universitätsstraße 12, 45141 Essen, Germany
2
NTNU Business School, Norwegian University of Science and Technology, 7491 Trondheim, Norway
3
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; https://doi.org/10.3390/en13174501
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
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MDPI and ACS Style

Kremer, M.; Kiesel, R.; Paraschiv, F. Intraday Electricity Pricing of Night Contracts. Energies 2020, 13, 4501. https://doi.org/10.3390/en13174501

AMA Style

Kremer M, Kiesel R, Paraschiv F. Intraday Electricity Pricing of Night Contracts. Energies. 2020; 13(17):4501. https://doi.org/10.3390/en13174501

Chicago/Turabian Style

Kremer, Marcel, Rüdiger Kiesel, and Florentina Paraschiv. 2020. "Intraday Electricity Pricing of Night Contracts" Energies 13, no. 17: 4501. https://doi.org/10.3390/en13174501

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