Reanalysing Price Asymmetries in the Nordic Intraday Market

Jonas Khubute Sekamane

doi:10.1109/EEM.2018.8469977

Reanalysing Price Asymmetries in the Nordic Intraday Market

Jonas Khubute Sekamane

Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

Abstract

This paper investigates whether positive forecast errors influence the intraday price differently than negative forecast errors. The regression analysis focuses on the Nordic intraday market. With this paper we show that no price asymmetries exist, and that previous conclusions are non-robust to reanalysis with a different model specification. The model specification in this paper solves the issue with autocorrelation, which have troubled previous studies. Specifically, the order of autoregressive and moving average parts depend on the time of day, since the underlying autocorrelation structure of the price data differs noticeably with the time of day.

Original language	English
Title of host publication	Proceedings of the 2018 15th International Conference on the European Energy Market (EEM)
Number of pages	5
Publisher	IEEE
Publication date	2018
Pages	1-5
DOIs	https://doi.org/10.1109/EEM.2018.8469977
Publication status	Published - 2018
Event	15th International Conference on the European Energy Market - Lodz, Poland Duration: 27 Jun 2018 → 29 Jun 2018

Conference

Conference	15th International Conference on the European Energy Market
Country/Territory	Poland
City	Lodz
Period	27/06/2018 → 29/06/2018

Keywords

Econometrics
Intraday Market
Price Formation
Nordic Electricity Market
Follow-up Study

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10.1109/EEM.2018.8469977

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title = "Reanalysing Price Asymmetries in the Nordic Intraday Market",

abstract = "This paper investigates whether positive forecast errors influence the intraday price differently than negative forecast errors. The regression analysis focuses on the Nordic intraday market. With this paper we show that no price asymmetries exist, and that previous conclusions are non-robust to reanalysis with a different model specification. The model specification in this paper solves the issue with autocorrelation, which have troubled previous studies. Specifically, the order of autoregressive and moving average parts depend on the time of day, since the underlying autocorrelation structure of the price data differs noticeably with the time of day.",

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KW - Econometrics

KW - Intraday Market

KW - Price Formation

KW - Nordic Electricity Market

KW - Follow-up Study

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ER -

Reanalysing Price Asymmetries in the Nordic Intraday Market

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Keywords

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