The future importance of short term markets: An analyse of intraday prices in the Nordic intraday market; Elbas
Master thesis
Submitted version
View/ Open
Date
2017-05-15Metadata
Show full item recordCollections
- Master's theses (INA) [593]
Abstract
The intraday market allows market participants to trade energy nearer to the period of delivery, and will play an essential role in enabling the expected increase of renewable energy in the European energy mix. This thesis analyses the trading behaviour and the price determinants in the Nordic intraday market. Trading behaviour was analysed by examining the trading pattern, the number of trades and volume. The results concluded that the high trading activity was connected with a high level of intermittent energy. Additionally, the tests showed that the imbalance costs and the amount of generated power were other significant factors in trading behaviour (see figure 9). Furthermore, most of the trades were settled nearer the gate closure. In the regression analysis, the spot price and the regulating power price were used as price determinants, and an intraday price model was developed. Both price determinants could be used to explain the intraday price, and the impact they had on the intraday price varied between seasons, time periods within a market session, and the Norwegian price areas. Furthermore, the intraday price model had an overall good prediction ability, but struggled when extreme low or high prices occurred (see figure 13). Intradagmarknaden tilet marknadsaktørar å handle nærare leveringsperioden, og vil derfor spele ei viktig rolle for å mogleggjere den forventa aukinga av fornybar energi i det europeiske energisystemet. Denne studien analyserte handelsåtferd og prisdeterminantar i den nordiske intradagmarknaden. Handelsåtferda vart analysert ved å undersøkje handelsmønster, tal på transaksjonar og volum. Resultatet viste ein samanheng mellom høg mengde ny fornybar energi og høg aktivitet på intradagmarknaden, men også høge ubalanse kostander og stor mengde generert kraft spelte ei rolle (sjå figur 9). De fleste handlane vart utført nært marknad slutt. I regresjonanalysen vart prisane i spot- og regulerkraftmarkanden brukt som prisdeterminantar, og ein prismodell for intradagmaknaden vart utvikla. Begge prisdeterminantane var signifikante og kunne nyttas til å forklare intradagprisen. Korleis spot og regulerkraftprisen påverka intradagprisen varierte mellom sesongar, tidsrammer innan ein handelsperiode og dei norske prisområda. Intradagmodellen viste seg å ha gode prognoseeigenskapar, men var svak når det gjaldt å forutsjå dei ekstreme prisverdiane (sjå figur 13).