Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/113273
Authors: 
Hagemann, Simon
Weber, Christoph
Year of Publication: 
2015
Series/Report no.: 
EWL Working Paper 03/15
Abstract: 
This paper presents an analytical benchmark model for national intraday adjustment needs under consideration of fundamental drivers, market concentration and portfolio internal netting. The benchmark model is used to calculate the intraday market outcomes if (i) large and small players as well as transmissions operators trade and (ii) only large players and transmission system operators trade. Transaction costs may prevent the competitive fringe from intraday market participation. The theoretical national intraday trading volumes are calculated with market data from three European countries with auction-based intraday markets (Italy, Portugal, Spain) and four countries with continuous intraday markets (Denmark, France, Germany, United Kingdom). The model results allow two main conclusions: The competitive fringe is not trading on exchanges in Denmark and France but in Germany. The second conclusion is that the high observed volumes in auction-based intraday markets cannot be explained by fundamentals or the auction-based design but are mainly caused by market peculiarities. The same result applies to the UK.
Subjects: 
renewables market integration
Liquidity modeling
continuous and auction-based intraday markets
JEL: 
L94
Q41
Document Type: 
Working Paper

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