This paper develops an econometric price model with fundamental impacts for intraday electricity markets of 15-min contracts. A unique dataset of intradaily updated forecasts of renewable power generation is analysed. We use a threshold regression model to examine how 15-min intraday trading depends on the slope of the merit order curve. Our estimation results reveal strong evidence of mean reversion in the price formation mechanism of 15-min contracts. Additionally, prices of neighbouring contracts exhibit strong explanatory power and a positive impact on prices of a given contract. We observe an asymmetric effect of renewable forecast changes on intraday prices depending on the merit-order-curve slope. In general, renewable forecasts have a higher explanatory power at noon than in the morning and evening, but price information is the main driver of 15-min intraday trading.

This article is part of the theme issue ‘The mathematics of energy systems’.

本文开发了一个对 1​​5 分钟合约的日内电力市场具有基本影响的计量经济学价格模型。分析了可再生能源发电每日更新预测的独特数据集。我们使用阈值回归模型来检查 15 分钟的日内交易如何取决于优先顺序曲线的斜率。我们的估计结果揭示了 15 分钟合约价格形成机制中均值回归的有力证据。此外，相邻合同的价格表现出很强的解释力，并对给定合同的价格产生积极影响。我们观察到可再生能源预测变化对日内价格的不对称影响，具体取决于优先顺序曲线斜率。总的来说，可再生预报在中午比早上和晚上有更高的解释力，

这篇文章是主题问题“能量系统的数学”的一部分。