气候变化领域集成服务门户(CCPortal): Liquidity costs on intraday power markets: Continuous trading versus auctions

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DOI	10.1016/j.enpol.2021.112299
	Liquidity costs on intraday power markets: Continuous trading versus auctions
	Kuppelwieser T.; Wozabal D.
发表日期	2021
ISSN	03014215
卷号	154
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
关键词	Auction market Continuous market Double machine learning EPEX SPOT GME MI
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
语种	英语
来源期刊	Energy Policy
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/205202
作者单位	TUM School of Management, Technical University of Munich, Arcisstraße 21, Munich, 80333, Germany
推荐引用方式 GB/T 7714	Kuppelwieser T.,Wozabal D.. Liquidity costs on intraday power markets: Continuous trading versus auctions[J],2021,154.
APA	Kuppelwieser T.,&Wozabal D..(2021).Liquidity costs on intraday power markets: Continuous trading versus auctions.Energy Policy,154.
MLA	Kuppelwieser T.,et al."Liquidity costs on intraday power markets: Continuous trading versus auctions".Energy Policy 154(2021).