Analysing Trading Trends in Continuous Intraday Electricity Markets

Abstract

The intraday electricity market provides the possibility to trade closer to real-time, aiming at assisting the market participants in improving their market position, based on their updated forecasts. The growing popularity of the intraday markets coupled with the single intraday coupling (SIDC) project in Europe drives certain trends and trading behaviours, that are analysed in this paper. Further, we present different approaches to transform the price data of the historical trades into price time series. The price time series obtained is then leveraged to derive insights on the correlation of the prices in the day-ahead and intraday market; wind power and hydropower generation, and demand time series.