Trading behaviour on the continuous intraday market Elbas

• Published in: Energy policy Vol. 88; pp. 544 - 557
• Main Authors: Scharff, Richard, Amelin, Mikael
• Format: Journal Article
• Language: English
• Published: Kidlington Elsevier Ltd 01.01.2016; Elsevier Science Ltd
• Subjects: Alternative energy; Balancing; Behavior; Bidding strategies; Commodities trading; Distributed balancing; Economics; Electric utilities; Electrical Engineering; Electricity; Elektro- och systemteknik; Energy policy; Energy sources; Europe; Flexibility; Gain; Integration of renewable energy sources; Intraday adjustment market; Market design; Markets; Prices; Profitability; Renewable energy; Renewable energy sources; Securities markets; Stock prices; Studies; Europe; Distributed balancing; Integration of renewable energy sources; Market design; Intraday adjustment market; Bidding strategies
• ISSN: 0301-4215; 1873-6777; 1873-6777
• DOI: 10.1016/j.enpol.2015.10.045

Intraday markets for electricity allow for trading of energy until shortly before the period of delivery. This offers market participants a possibility to reduce their expected imbalances and to offer own unused flexibility. Because this form of distributed balancing before the period of delivery can be profitable for market participants as well as beneficial for system operations, intraday trading is expected to gain more importance in future, especially with increasing shares of variable renewable energy sources in the generation mix. So far, intraday markets are still a research field with many open questions. This paper contributes by a first analysis of intraday trades on Elbas, one of the European intraday markets. The analysis gives a detailed picture on trading activity and price development and is intended to improve understanding of continuous intraday trading. Findings include that trading activity differs significantly between price zones, that most trades occur in the last hours before gate closure and that market participants have to handle substantial price variations during the trading period. The paper also investigates the imbalance settlement rules in the Nordic countries and studies which effects one- and two-price imbalance settlement systems have on the market participants' profitability of intraday trading. •Insights into intraday trading: trading activity and price development.•Special focus is on characteristics of continuous trading.•Intrinsic problems in the Nordic imbalance pricing scheme are discussed.•Implications regarding balancing of generation from vRES.