Flexible Short-Term Electricity Certificates—An Analysis of Trading Strategies on the Continuous Intraday Market
The most important price for short-term electricity trading in Germany is the day-ahead auction price, which is provided by EPEX SPOT. Basically, short-term fluctuating electricity prices allow cost-optimized production planning by shifting electricity-intensive processes to times of favorable elect...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-08-01
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| Series: | Energies |
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| Online Access: | https://www.mdpi.com/1996-1073/15/17/6344 |
| _version_ | 1827666492248817664 |
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| author | Rainer Baule Michael Naumann |
| author_facet | Rainer Baule Michael Naumann |
| author_sort | Rainer Baule |
| collection | DOAJ |
| description | The most important price for short-term electricity trading in Germany is the day-ahead auction price, which is provided by EPEX SPOT. Basically, short-term fluctuating electricity prices allow cost-optimized production planning by shifting electricity-intensive processes to times of favorable electricity prices. However, the day-ahead price as the outcome of an auction is not directly tradeable afterwards. We propose short-term flexible electricity certificates that pass on the day-ahead auction prices plus a premium for the supplier, enabling users to plan electricity consumption based on realized day-ahead auction prices. We analyze the supplier’s problem of delivering electricity based on such certificates. The supplier can adjust the required electricity volume after the close of the day-ahead auction on the continuous intraday market. We analyze the price fluctuations in this market in relation to the day-ahead price and propose different trading strategies. Using the order book history of EPEX SPOT, we analyze the trading success and risk of these strategies. Furthermore, we investigate to what extent trading success can be explained by changes in market conditions, and, in particular, we identify renewable forecast errors as a driver. |
| first_indexed | 2024-03-10T01:52:24Z |
| format | Article |
| id | doaj.art-e29c53d3303f469f8bdb7e3f6e718cec |
| institution | Directory Open Access Journal |
| issn | 1996-1073 |
| language | English |
| last_indexed | 2024-03-10T01:52:24Z |
| publishDate | 2022-08-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj.art-e29c53d3303f469f8bdb7e3f6e718cec2023-11-23T13:04:34ZengMDPI AGEnergies1996-10732022-08-011517634410.3390/en15176344Flexible Short-Term Electricity Certificates—An Analysis of Trading Strategies on the Continuous Intraday MarketRainer Baule0Michael Naumann1Chair of Banking and Finance, University of Hagen, Universitätsstraße 41, 58084 Hagen, GermanyChair of Banking and Finance, University of Hagen, Universitätsstraße 41, 58084 Hagen, GermanyThe most important price for short-term electricity trading in Germany is the day-ahead auction price, which is provided by EPEX SPOT. Basically, short-term fluctuating electricity prices allow cost-optimized production planning by shifting electricity-intensive processes to times of favorable electricity prices. However, the day-ahead price as the outcome of an auction is not directly tradeable afterwards. We propose short-term flexible electricity certificates that pass on the day-ahead auction prices plus a premium for the supplier, enabling users to plan electricity consumption based on realized day-ahead auction prices. We analyze the supplier’s problem of delivering electricity based on such certificates. The supplier can adjust the required electricity volume after the close of the day-ahead auction on the continuous intraday market. We analyze the price fluctuations in this market in relation to the day-ahead price and propose different trading strategies. Using the order book history of EPEX SPOT, we analyze the trading success and risk of these strategies. Furthermore, we investigate to what extent trading success can be explained by changes in market conditions, and, in particular, we identify renewable forecast errors as a driver.https://www.mdpi.com/1996-1073/15/17/6344intraday electricity marketday-ahead marketrenewable energieselectricity pricesbidding strategies |
| spellingShingle | Rainer Baule Michael Naumann Flexible Short-Term Electricity Certificates—An Analysis of Trading Strategies on the Continuous Intraday Market Energies intraday electricity market day-ahead market renewable energies electricity prices bidding strategies |
| title | Flexible Short-Term Electricity Certificates—An Analysis of Trading Strategies on the Continuous Intraday Market |
| title_full | Flexible Short-Term Electricity Certificates—An Analysis of Trading Strategies on the Continuous Intraday Market |
| title_fullStr | Flexible Short-Term Electricity Certificates—An Analysis of Trading Strategies on the Continuous Intraday Market |
| title_full_unstemmed | Flexible Short-Term Electricity Certificates—An Analysis of Trading Strategies on the Continuous Intraday Market |
| title_short | Flexible Short-Term Electricity Certificates—An Analysis of Trading Strategies on the Continuous Intraday Market |
| title_sort | flexible short term electricity certificates an analysis of trading strategies on the continuous intraday market |
| topic | intraday electricity market day-ahead market renewable energies electricity prices bidding strategies |
| url | https://www.mdpi.com/1996-1073/15/17/6344 |
| work_keys_str_mv | AT rainerbaule flexibleshorttermelectricitycertificatesananalysisoftradingstrategiesonthecontinuousintradaymarket AT michaelnaumann flexibleshorttermelectricitycertificatesananalysisoftradingstrategiesonthecontinuousintradaymarket |