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Cross-product Modelling in Continuous Intraday Electricity Markets via Hawkes Processes

Ayoub Jhabli, Tarek Alskaif, Kwabena Ebo Bennin, Bedir Teki̇nerdoğan, Joost M. E. Pennings · 2026 · arXiv (Cornell University)

DOI: 10.48550/arxiv.2610.23619 · cited by 0 works (OpenAlex) · open-access PDF

Spanish

A medida que la integración de las energías renovables se acelera, los mercados de electricidad continuos intra-día (IDC) se han vuelto esenciales para el equilibrio a corto plazo. Sin embargo, el comercio simultáneo de contratos superpuestos con las mismas granularidades variables crea dependencias de liquidez complejas y ocultas que son críticas para la estabilidad del mercado, pero permanecen mal comprendidas. Este artículo propone un proceso de Hawkes dependiente del Estado (SDHP) muy variable para modelar la dinámica de liquidez intermedia entre los contratos de cuarta hora y hora de IDC. Para determinar cómo los efectos de estrés intermedio varían en diferentes condiciones de mercado, clasificamos las sesiones de negociación en dos regímenes distintos: 'Normal' y 'Estresado', basado en una métrica

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

Abstract

As renewable energy integration accelerates, intraday continuous (IDC) electricity markets have become essential for short-term balancing. However, the simultaneous trading of overlapping contracts with varying granularities creates complex, hidden liquidity dependencies that are critical to market stability but remain poorly understood. This paper proposes a multivariate State-Dependent Hawkes Process (SDHP) to model cross-product liquidity dynamics between Quarter-Hourly and Hourly IDC contracts. To determine how cross-product effects vary under different market conditions, we classify the trading sessions into two distinct regimes: 'Normal' and 'Stressed', based on a composite metric of the bid-ask spread, mid-price volatility and queue imbalance. The model is calibrated on the first month of each quarter of 2024 using level 3 limit order book (LOB) data from the Dutch EPEX SPOT IDC market. We find that order flow is overwhelmingly self-driven, with roughly 95\% of orders arriving in reaction to earlier orders in both regimes. Cross-excitation runs mainly from the Quarter-Hourly to the Hourly contract, but this leadership weakens under stress: the ratio of cumulative cross-excitation falls from 2.8 to 1.5, so the two contracts influence each other almost equally. Stress also makes the Quarter-Hourly to Hourly channel much faster, cutting its mean lag from 6.05 to 0.93 seconds. The strong seasonal variation found in calm periods largely disappears under stress, where all four months converge to the same structure.

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Topics: Econometrics, Volatility (finance), Market liquidity, Lag, Mean reversion, Economics

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