Newest papers

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

Chinese

随着季度可再生能源集成的强劲加速,日内连续(IDC)电力市场已成为短期平衡的必不可少。然而,与四季度相同的细微度相重的合约的同时交易创造了复杂的隐藏的流动性依赖,这些对市场稳定至关重要,但仍然不太理解。本文提出了一种多变的国家依赖霍克斯流程(SDHP),以模拟季度小时和小时IDC合约之间的跨产品流动性结构。为了确定跨产品效应在不同市场条件下如何变化,我们将交易会分类为两个不同的模式:“正常”和“压力海洋”,基于分布式指标,从中期货币流动性到中期货币流动性和排列失衡。该模型在每一个季度的主要

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.

Read in: English · Spanish · Chinese · Hindi · Arabic · Portuguese · French · German · Japanese · Russian · Korean · Indonesian · Vietnamese

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

Sources: OpenAlex (CC0), arXiv, Crossref. Agent Exchange