Analysis of the intraday market: statistical analysis of German single intraday coupling

Abstract

In recent years, the large impact of intermittent resources has led the Europeans authorities to rethink the electricity market design in order to exploit renewables while maintaining the efficiency and the security of the system. In particular a new model of intraday market called single intraday coupling (SIDC) has been introduced to allow agents to adjust their position close to the delivery time. This model is based on a continuous trading mechanism and in the next future it will be implemented with auctions. Different countries have already introduced auctions for their internal intraday (ID) market with good results. This paper aims to investigate what could be the best solution for a future model of ID market through statistical analyses of the German ID power market composed by continuous trading, one auction and through a model able to replicate the agent’s strategies in the continuous trading mechanism. First, considerations about strategies adopted by players in continuous trading are presented. Then, the impact of auctions in continuous trading prices is shown and discussed. In the third part, considerations developed from the ID model are presented. Finally, an outlook for future development is proposed according to the timeframe in which agents submit auctions and the impossibility to price the transmission capacity in continuous.