The German intraday continuous market is of a major importance for the balancing of the system and the hedging relative to the constant arrival of new information. On top of the traditional uncertainty (demand/ temperature, unplanned outages), the evolution of the electricity mix brings a significant amount of uncertainty to the market relative to the intermittency and associated forecast errors. We want to understand to what extend the bid-ask spread on the German continuous intraday power market is driven by liquidity and volatility. Based on German intraday orders books for the hourly products, we use a tool that reconstitutes at every time there is a change in the orders book the best order stream (best bid price, best ask price) and the market depths. Then, we analyze the output using statistics and panel data econometrics. First, the daily average bid-ask spread can be explained by 4 components: risk, re-balancing of portfolio, activity and competition. Second, we observe a “U-shaped” pattern of the bid-ask spread over the trading session. Third, we find that the correlation between the bid-ask spread with the buy and sell depths are strong and negative. To our knowledge, this is the first paper that uses a complete orders book information in the finest details of the intraday continuous electricity market to quantify the liquidity of the market and its evolution through the bid-ask spread and market depths of the orders book.
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