| DOI: | 10.1016/j.enpol.2021.112299
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| 论文题名: | Liquidity costs on intraday power markets: Continuous trading versus auctions |
| 作者: | Kuppelwieser T.; Wozabal D.
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| 刊名: | Energy Policy
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| ISSN: | 03014215
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| 出版年: | 2021
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| 卷: | 154 | | 语种: | 英语
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| 中文关键词: | Auction market
; Continuous market
; Double machine learning
; EPEX SPOT
; GME MI
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| 英文关键词: | Machine learning
; Power markets
; Regression analysis
; Auction markets
; Continuous market
; Descriptive statistics
; Double machine learning
; EPEX SPOT
; GME MI
; Market design
; Multivariate regression models
; Power
; Round trip
; Costs
; electricity industry
; energy market
; energy policy
; energy resource
; financial system
; machine learning
; power generation
; Germany
; Italy
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| 英文摘要: | We analyze liquidity costs on continuous and auction-based intraday power markets using a cost-of-round-trip measure that works for both market designs. We use data from the Italian auction-based intraday market and the German continuous market and present descriptive statistics as well as multivariate regression models to analyze determinants of liquidity costs in both markets. To test for differences in liquidity due to market design, we employ a double machine learning technique controlling for several confounding variables. We show that weekly patterns, yearly seasonality, electricity demand, as well as the influence of temperatures significantly affect liquidity costs. Comparing liquidity costs in both market, we find that, overall, liquidity costs are lower on the Italian market. However, Italian costs increase towards later auctions, while the costs on the German continuous intraday market decrease and reach their low close to physical delivery, where costs are lower than on the last Italian market trading the corresponding products. © 2021 Elsevier Ltd |
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| 资源类型: | 期刊论文
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| 标识符: | http://119.78.100.158/handle/2HF3EXSE/167878
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| Appears in Collections: | 气候变化与战略
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作者单位: | TUM School of Management, Technical University of Munich, Arcisstraße 21, Munich, 80333, Germany
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| Recommended Citation: | |
Kuppelwieser T.,Wozabal D.. Liquidity costs on intraday power markets: Continuous trading versus auctions[J]. Energy Policy,2021-01-01,154
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