Impact of the COVID-19 Pandemic Crisis on the Efficiency of European Intraday Electricity Markets
Our goal is to examine the efficiency of different intraday electricity markets and if any of their price prediction models are more accurate than others. This paper includes a comprehensive review of Germany, France, and Norway’s (NOR1) day-ahead and intraday electricity market prices. These market...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-05-01
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| Series: | Energies |
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| Online Access: | https://www.mdpi.com/1996-1073/15/10/3494 |
| _version_ | 1797500243399409664 |
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| author | Jan Niklas Buescher Daria Gottwald Florian Momm Alexander Zureck |
| author_facet | Jan Niklas Buescher Daria Gottwald Florian Momm Alexander Zureck |
| author_sort | Jan Niklas Buescher |
| collection | DOAJ |
| description | Our goal is to examine the efficiency of different intraday electricity markets and if any of their price prediction models are more accurate than others. This paper includes a comprehensive review of Germany, France, and Norway’s (NOR1) day-ahead and intraday electricity market prices. These markets represent different energy mixes which would allow us to analyze the impact of the energy mix on the efficiencies of these markets. To draw conclusions about extreme market conditions, (i) we reviewed the market data linked to COVID-19. We expected higher volatility in the lockdowns than before and therefore decrease in the efficiency of the prediction models. With our analysis, (ii) we want to draw conclusions as to whether a mix based mainly on renewable energies such as that in Norway implies lower volatilities even in times of crisis. This would answer (iii) whether a market with an energy mix like Norway is more efficient in highly volatile phases. For the analysis, we use data visualization and statistical models as well as sample and out-of-sample data. Our finding was that while the different price and volatility levels occurred, the direction of the market was similar. We could find evidence that our expectations (i–iii) were met. |
| first_indexed | 2024-03-10T03:59:07Z |
| format | Article |
| id | doaj.art-8c45d0602b354c8faab793894116d61a |
| institution | Directory Open Access Journal |
| issn | 1996-1073 |
| language | English |
| last_indexed | 2024-03-10T03:59:07Z |
| publishDate | 2022-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj.art-8c45d0602b354c8faab793894116d61a2023-11-23T10:48:54ZengMDPI AGEnergies1996-10732022-05-011510349410.3390/en15103494Impact of the COVID-19 Pandemic Crisis on the Efficiency of European Intraday Electricity MarketsJan Niklas Buescher0Daria Gottwald1Florian Momm2Alexander Zureck3Automatisierungstechnik, RWTH Aachen University, Templergraben 55, 52062 Aachen, GermanyISF Institute for Strategic Finance, FOM University of Applied Sciences for Economics and Management, 45127 Essen, GermanyEnergie- und Wasseroekonomik, Hochschule Ruhr West, Duisburger Str. 100, 45479 Muelheim an der Ruhr, GermanyISF Institute for Strategic Finance, FOM University of Applied Sciences for Economics and Management, 45127 Essen, GermanyOur goal is to examine the efficiency of different intraday electricity markets and if any of their price prediction models are more accurate than others. This paper includes a comprehensive review of Germany, France, and Norway’s (NOR1) day-ahead and intraday electricity market prices. These markets represent different energy mixes which would allow us to analyze the impact of the energy mix on the efficiencies of these markets. To draw conclusions about extreme market conditions, (i) we reviewed the market data linked to COVID-19. We expected higher volatility in the lockdowns than before and therefore decrease in the efficiency of the prediction models. With our analysis, (ii) we want to draw conclusions as to whether a mix based mainly on renewable energies such as that in Norway implies lower volatilities even in times of crisis. This would answer (iii) whether a market with an energy mix like Norway is more efficient in highly volatile phases. For the analysis, we use data visualization and statistical models as well as sample and out-of-sample data. Our finding was that while the different price and volatility levels occurred, the direction of the market was similar. We could find evidence that our expectations (i–iii) were met.https://www.mdpi.com/1996-1073/15/10/3494energy efficiencyenergy mixenergy marketsCOVID-19out-of-sample data |
| spellingShingle | Jan Niklas Buescher Daria Gottwald Florian Momm Alexander Zureck Impact of the COVID-19 Pandemic Crisis on the Efficiency of European Intraday Electricity Markets Energies energy efficiency energy mix energy markets COVID-19 out-of-sample data |
| title | Impact of the COVID-19 Pandemic Crisis on the Efficiency of European Intraday Electricity Markets |
| title_full | Impact of the COVID-19 Pandemic Crisis on the Efficiency of European Intraday Electricity Markets |
| title_fullStr | Impact of the COVID-19 Pandemic Crisis on the Efficiency of European Intraday Electricity Markets |
| title_full_unstemmed | Impact of the COVID-19 Pandemic Crisis on the Efficiency of European Intraday Electricity Markets |
| title_short | Impact of the COVID-19 Pandemic Crisis on the Efficiency of European Intraday Electricity Markets |
| title_sort | impact of the covid 19 pandemic crisis on the efficiency of european intraday electricity markets |
| topic | energy efficiency energy mix energy markets COVID-19 out-of-sample data |
| url | https://www.mdpi.com/1996-1073/15/10/3494 |
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