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

Chair of Banking and Finance, University of Hagen, Universitätsstraße 41, 58084 Hagen, Germany
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Academic Editor: Ricardo J. Bessa
Energies 2021, 14(22), 7531; https://doi.org/10.3390/en14227531
Received: 6 October 2021 / Revised: 5 November 2021 / Accepted: 7 November 2021 / Published: 11 November 2021
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 R2 of 0.479 for volatility and around 0.3 for the dispersion measures. View Full-Text
Keywords: intraday electricity market; renewable energies; electricity price volatility; electricity price dispersion intraday electricity market; renewable energies; electricity price volatility; electricity price dispersion
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MDPI and ACS Style

Baule, R.; Naumann, M. Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market. Energies 2021, 14, 7531. https://doi.org/10.3390/en14227531

AMA Style

Baule R, Naumann M. Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market. Energies. 2021; 14(22):7531. https://doi.org/10.3390/en14227531

Chicago/Turabian Style

Baule, Rainer, and Michael Naumann. 2021. "Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market" Energies 14, no. 22: 7531. https://doi.org/10.3390/en14227531

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