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Modelling Regime Shifts in Continuous Intraday Electricity Markets With State-Dependent Hawkes Processes

Ayoub Jhabli, Tarek A. AlSkaif, Kwabena Ebo Bennin, Bedir Teki̇nerdoğan, Axel Naumann, J.M.E. Pennings · 2026 · IEEE Transactions on Energy Markets Policy and Regulation

DOI: 10.1109/tempr.2026.3741218 · cited by 0 works (OpenAlex) · open-access PDF

Korean

재생 에너지 소스의 점점 더 많은 침투에 의해 유도 된 유럽에서 단일 일간 거래의 인덱스 드라이브 체계의 중요성은 높은 변동성과 시장 스트레스 기간을 초래했습니다. 주문 흐름이 다양한 유동성 조건에서 행동하는 방법을 이해하는 것은 시장 상태에 적응하는 모델을 필요로합니다.이 논문은 유동성 유동성 스트레스 인덱스 (LSI)를 사용하여 제안 된 주문 조건에 적응합니다.이 논문은 국경 순서, 책 순서 볼륨 및 중간 가격 변동성에 대한 다변형 호크스 프로세스를 제안합니다. 주간 지속적인 전기 시장에서 다른 유동성 체계 간의 주문 흐름을 모델링합니다. 관찰 된 시장 상태는 같은 정의-비용 유동성 행동을 반

Machine translation (Meta M2M100); the English original follows.

Abstract

The growing importance of intraday trading in Europe, driven by the increasing penetration of renewable energy sources, has led to higher volatility and periods of market stress. Understanding how order flow behaves under varying liquidity conditions requires models that adapt to the state of the market. This paper proposes a multivariate state-dependent Hawkes process to model the flow of orders across different liquidity regimes in the intraday continuous electricity market. The observed market states are identified using a proposed Liquidity Stress Index (LSI), which quantifies stress using the bid-ask spread in the limit order book, order book volume, and mid-price volatility. Transitions between states induce changes in the intensity parameters, resulting in piecewise dynamics that reflect regime-specific order-flow behavior. The model is calibrated on January-March 2024 Dutch intraday continuous cross-border intraday (XBID) hourly order data from EPEX SPOT. The estimated dynamics show that order flow is strongly self-exciting and near-critical, that executed trades trigger new same-side orders while the reverse effect is negligible, and that liquidity stress mainly strengthens transaction self-excitation rather than reshaping the cross-side structure. Robustness checks over the LSI composition and the state partition show that the results are driven by the regime construction itself: alternative index compositions fit within a narrow band, three states fit better than two, and removing the states clearly degrades the fit relative to a single-regime Hawkes benchmark. The results highlight both the value of conditioning order-flow models on liquidity stress and the limits of a single-exponential specification when event frequencies are highly imbalanced.

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Topics: Econometrics, Economics, Electricity, Electricity market, Computer science, Measure (data warehouse)

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