Intraday market asymmetries — A Nordic example

Abstract

While the majority of electricity in the Nordic and Baltic countries is traded at the day-ahead market, producers and consumers can use the intraday market to adjust their production commitments according to updated forecasts closer to the time of delivery. This reduces the need for balancing, particularly important for VRE producers, but it also means that the price formation at intraday market can change optimal bidding strategy in the day-ahead market. Through econometric modelling of intraday price premiums, this paper investigates intraday price asymmetries, which potentially can lead to strategic bidding. The intraday market is per definition symmetric, as prices for power sales always correspond to prices for power purchases, however, we find that this symmetry is not reflected in the price structure in regards to the total load adjustment needs.