Abstract
The introduction of the quarter-hourly intraday auction in 2014 for the German market confirms a tendency towards short-term energy markets. The reason for the new market was the need to trade shorter periods than just hours a day-ahead to minimize open positions in the more volatile continuous intraday trading. The increased production capacity of solar power boosted this requirement for new short-term power products. The quarter-hourly market shows a distinctive zigzag price formation. We identify two influencing factors: first, the solar residual that combines the trading of solar power ramps around midday as well as the gradients of consumption and thermal power plant ramps throughout the course of the day, and second, a characteristic two stage market design with higher liquidity for the hourly than for the quarter-hourly auction. Therefore, demand, solar generation and inflexible ramps of thermal power plants are hedged at the hourly day-ahead auction and use the quarter-hourly auction only to balance the remaining differences. To prove this argument the price sensitivities of the hourly day-ahead and quarter-hourly intraday auctions in Germany are compared based on actual bid and ask curves from 2015 and 2016. Finally, the development of an adequate design of future spot markets is discussed.
Zusammenfassung
Die Einführung der viertelstündlichen Intraday-Auktion im Jahre 2014 für den deutschen Strommarkt untermauert die Bedeutung der kurzfristigen Energiemärkte. Der Grund für die Einführung war der Bedarf, bereits vortägig, viertelstündliche Mengen auszugleichen und offene Positionen im volatilen kontinuierlichen Intraday-Handel zu minimieren. Die gestiegene Stromproduktion aus Solarenergie verstärkte die Nachfrage nach neuen kurzfristigen Produkten. Der Viertelstundenmarkt zeigt eine ausgeprägte Zickzack-Preisbildung. Wir identifizieren zwei Einflussfaktoren: erstens, den Handel von Solarrampen um die Mittagszeit, sowie die Gradienten von Nachfrage und thermischer Erzeugung im Laufe des Tages und zweitens, ein charakteristisches zweistufiges Marktdesign mit höherer Liquidität an den stündlichen als auf der viertelstündlichen Auktion. Die unterschiedliche Liquidität lässt darauf schließen, dass bei der stündlichen Day-Ahead-Auktion die solare Erzeugung und die unflexiblen Rampen thermischer Kraftwerke abgesichert und die viertelstündliche Auktion genutzt, um die verbleibenden Differenzen auszugleichen. Um diese Aussage argumentativ zu verifizieren, werden die Preissensitivitäten der stündlichen Day-Ahead- und viertelstündlichen Intraday-Auktionen in Deutschland anhand der tatsächlichen Angebots- und Nachfragekurven von 2015 und 2016 verglichen. Abschließend wird die Entwicklung einer adäquaten Gestaltung zukünftiger Spotmärkte diskutiert.
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Braun, S.M., Brunner, C. Price Sensitivity of Hourly Day-ahead and Quarter-hourly Intraday Auctions in Germany. Z Energiewirtsch 42, 257–270 (2018). https://doi.org/10.1007/s12398-018-0228-0
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DOI: https://doi.org/10.1007/s12398-018-0228-0