Reanalysing Price Asymmetries in the Nordic Intraday Market

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    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 languageEnglish
    Title of host publicationProceedings of the 2018 15th International Conference on the European Energy Market (EEM)
    Number of pages5
    PublisherIEEE
    Publication date2018
    Pages1-5
    DOIs
    Publication statusPublished - 2018
    Event15th International Conference on the European Energy Market - Lodz, Poland
    Duration: 27 Jun 201829 Jun 2018

    Conference

    Conference15th International Conference on the European Energy Market
    CountryPoland
    CityLodz
    Period27/06/201829/06/2018
    Series2018 15th International Conference on the European Energy Market (eem)
    ISSN2165-4093

    Keywords

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

    Cite this

    Sekamane, J. K. (2018). Reanalysing Price Asymmetries in the Nordic Intraday Market. In Proceedings of the 2018 15th International Conference on the European Energy Market (EEM) (pp. 1-5). IEEE. 2018 15th International Conference on the European Energy Market (eem) https://doi.org/10.1109/EEM.2018.8469977