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Faculty of Economics

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Neuhoff, K., Ritter, N., Salah-Abou-El-Enien, A. and Vassilopoulos, P.

Intraday Markets for Power: Discretizing the Continuous Trading


Abstract: A fundamental question regarding the design of electricity markets is whether adding auctions to the continuous intraday trading is improving the performance of the market. To approach this question, we assess the experience with the implementation of the 3 pm local auction for quarters in Germany at the European Power Exchange (EPEX SPOT) in December 2014 to assess the impact on trading volumes/liquidity, prices, as well as market depth. We discuss further opportunities and challenges that are linked with a potential implementation of an intraday auction.

Keywords: auctions, electricity, empirical analysis, market design

JEL Codes: C5 C57 C93 D44 D47 L50


EPRG Paper Link: 1609

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