scholarly journals Electricity Market Liquidity and Price Spikes: Evidence from Hungary

2021 ◽  
Author(s):  
Mátyás Bajai ◽  
Attila A. Víg ◽  
Olivér Hortay
Keyword(s):  
Electricity Market ◽  
Explanatory Variable ◽  
Market Liquidity ◽  
Control Variables ◽  
Cross Border ◽  
Bid Ask Spread ◽  
Power Exchange ◽  
The Difference ◽  
The Empirical Analysis ◽  
Price Spikes

This article examines how electricity market liquidity, renewable production and cross-border activity together in combination explain price spikes in the Hungarian Power Exchange day-ahead auctions. In the applied logit model, the dependent variable representing the price spike is binary, and the key explanatory variable is a modified bid-ask spread depicting liquidity. Weather-dependent renewable production and the difference between exports and imports appear as control variables in the model. The empirical analysis was based on data from 2017 and 2018. The results show that the control variables have no effect on the bid-ask spread and that the model explains 96 per cent of the spikes well, with an AUC-ROC of 0.75 and a Gini coefficient of 0.5. Based on the results, it may be worthwhile for traders to incorporate their data from sales and purchase curves into their forecasts, as this will improve their chances of successfully predicting extreme prices.

scholarly journals A Speculative Trading Model for the Electricity Market: Based on Japan Electric Power Exchange

Energies ◽  
2019 ◽  
Vol 12 (15) ◽  
pp. 2946
Author(s):  
Jun Maekawa ◽  
Koji Shimada
Keyword(s):  
Renewable Energy ◽  
Electric Power ◽  
Electricity Market ◽  
Renewable Energy Sources ◽  
Market Liquidity ◽  
Market Model ◽  
Forward Markets ◽  
Power Exchange ◽  
Trading Model ◽  
Speculative Trading

Renewable energy sources produce less environmental impact and have little marginal cost. Thus, because of these characteristics, it is desirable to disseminate it for the purpose of economic efficiency. Because of the uncertainty in the supply of renewable energy and the special feature of electricity as a good, such as merit order curve, introducing forward markets is an essential factor in a liberalized market. In European countries, which have already established several mechanisms for managing liquidity including markets with several timelines, the market liquidity invites the investor to perform some speculative action. We present a simple electric power market model to analyze the speculative actions of electricity suppliers and the price effect of such actions. Moreover, we found that the speculative action improves the inelasticity of the demand in electricity market.

scholarly journals Modeling Intraday Markets under the New Advances of the Cross-Border Intraday Project (XBID): Evidence from the German Intraday Market

Energies ◽  
2019 ◽  
Vol 12 (22) ◽  
pp. 4339 ◽  
Author(s):  
Christopher Kath
Keyword(s):  
Weighted Average ◽  
Market Liquidity ◽  
Order Book ◽  
Market Participants ◽  
Cross Border ◽  
Price Series ◽  
Power Exchange ◽  
Initial Hypothesis ◽  
Energy Exchanges ◽  
Intraday Market

The intraday cross-border project (XBID) allows intraday market participants to trade based on a shared order book independent of countries or local energy exchanges. This theoretically leads to an efficient allocation of cross-border capacities and ensures maximum market liquidity across European intraday markets. If this postulation holds, the technical implementation of XBID might mark a regime switch in any intraday price series. We present a regression-based model for intraday markets with a particular focus on the German European Power Exchange (EPEX) intraday market and evaluate if the introduction of XBID influence prices, volume or volatility. We analyze partial volume-weighted average prices and standard deviations as well as cross-border volumes at different trading times. We are able to falsify our initial hypothesis assuming a measurable influence of changes caused by XBID. Thus, this paper contributes to the ongoing discussion on appropriate modeling of intraday markets and demonstrates that XBID does not necessarily need to be included in any model.

scholarly journals Analyzing Trade in Continuous Intra-Day Electricity Market: An Agent-Based Modeling Approach

Energies ◽  
2021 ◽  
Vol 14 (13) ◽  
pp. 3860
Author(s):  
Priyanka Shinde ◽  
Ioannis Boukas ◽  
David Radu ◽  
Miguel Manuel de Manuel de Villena ◽  
Mikael Amelin
Keyword(s):  
Renewable Energy ◽  
Electricity Market ◽  
Power Plants ◽  
Renewable Energy Sources ◽  
Thermal Power ◽  
Agent Based Modeling ◽  
Market Liquidity ◽  
Energy Sources ◽  
Modeling Framework ◽  
Agent Based

In recent years, the vast penetration of renewable energy sources has introduced a large degree of uncertainty into the power system, thus leading to increased trading activity in the continuous intra-day electricity market. In this paper, we propose an agent-based modeling framework to analyze the behavior and the interactions between renewable energy sources, consumers and thermal power plants in the European Continuous Intra-day (CID) market. Additionally, we propose a novel adaptive trading strategy that can be used by the agents that participate in CID market. The agents learn how to adapt their behavior according to the arrival of new information and how to react to changing market conditions by updating their willingness to trade. A comparative analysis was performed to study the behavior of agents when they adopt the proposed strategy as opposed to other benchmark strategies. The effects of unexpected outages and information asymmetry on the market evolution and the market liquidity were also investigated.

scholarly journals A Model of Stress Change under the First COVID-19 Pandemic among the General Public in Japanese Major Cities and Rural Areas

2021 ◽  
Vol 13 (3) ◽  
pp. 1207
Author(s):  
Misato Uehara ◽  
Makoto Fujii ◽  
Kazuki Kobayashi
Keyword(s):  
Rural Areas ◽  
Healthcare Workers ◽  
Explanatory Variable ◽  
Large City ◽  
Stress Change ◽  
Multiple Factor Analysis ◽  
Explanatory Variables ◽  
Private Research ◽  
The Difference ◽  
The Relationship

Research on stress related to the COVID-19 pandemic has been dominated by the cases of healthcare workers, students, patients, and their stress during the COVID-19 pandemic. This study examined the relationship between the amount of stress change under the COVID-19 pandemic and demographic factors (age, sex, occupation, etc.) in residents of a large city and a rural area of Japan. A total of 1331 valid responses were received in June 2020 from residents of Tokyo, Osaka, and Nagano registered with a private research firm. We were able to identify 15 statistically significant variables out of 36 explanatory variables, which explained the significant increase in stress compared to the pre-pandemic period. Multiple-factor analysis showed that the relationship with people is a more significant explanatory variable for the level of increase in stress than the difference in environment between big cities (Tokyo, Osaka) and rural areas (Nagano), the type of housing, and the decrease in income compared to the pre-pandemic period.

scholarly journals An Experimental Analysis of Price Formation on the Polish Power Exchange

2015 ◽  
Vol 15 (2) ◽  
pp. 115-127
Author(s):  
Ewa Drabik
Keyword(s):  
Electricity Market ◽  
Market Price ◽  
Market Mechanism ◽  
Financial Supervision ◽  
Energy Market ◽  
Price Support ◽  
Transaction Prices ◽  
Power Exchange ◽  
Energy Trade ◽  
And Control

Abstract The Polish energy market gained its competitive character in late 1990s. At that time in majority of European countries a new law was enacted (in Poland – in 1987), which enabled the creation of internal energy markets. The Polish Power Exchange has been functioning since the end of 1999. However, from the very onset it has constituted a vital component of under grounding liberalization of electricity market. Since it was created the Polish Power Exchange has served as a market mechanism for setting objective energy market price. Support and control of the Polish Financial Supervision Authority guarantee the security of concluded transactions. The spot energy market was created as the first one and has functioned according to the rule of the double auction. The model of Sadrieh will be used for the description of the auction rules applied to the spot energy trade on the Polish Power Exchange. Furthermore, an algorithm on the basis of which it is possible to forecast transaction prices is presented. The effectiveness of this algorithm will be compared with other traditional methods of forecasting transaction prices.

scholarly journals Conflict of Laws: Jurisdiction of the Court and Choice of Law in Cross-Border Matrimonial Suit in India

2017 ◽  
pp. 80-87
Author(s):  
Indrani Kundu
Keyword(s):  
International Law ◽  
Private International Law ◽  
Conflict Of Laws ◽  
Cross Border ◽  
Civil Union ◽  
Foreign Law ◽  
Marriage Laws ◽  
The Difference ◽  
Domestic Law ◽  
Legal Procedures

Marriage, a civil union between two persons, involves some legal procedures which determine the rights and liabilities of parties in such civil union. Conflict of marriage laws is the conflict of laws governing status and capacity to marry defined by personal laws of parties to the marriage. Rules of Conflict of Laws are set of procedural rules which determine A) which legal system will be applicable to a given dispute, & B) which Court will have jurisdiction to try the suit.In the words of Dicey and Morris, rules of Private International Law do not directly determine the rights and liabilities of persons, rather it determines the jurisdiction of Court and the choice of body of law i.e. whether by the domestic law or by any foreign law, the case will be decided. This paper, by adopting doctrinal approach, seeks to find the criteria for Indian court to exercise jurisdiction in cross border matrimonial suit. Further, it endeavors to find out the difference between term ‘domicile’ and ‘residence’.

scholarly journals Assessment of power exchange based electricity market in India

2019 ◽  
Vol 23 ◽  
pp. 163-177 ◽  
Author(s):  
Furkan Ahmad ◽  
Mohammad Saad Alam
Keyword(s):  
Electricity Market ◽  
Power Exchange

scholarly journals Initial bank loans, zero-leverage firms and stock market liquidity

2019 ◽  
Vol 46 (5) ◽  
pp. 1028-1051 ◽  
Author(s):  
Sijia Zhang ◽  
Andros Gregoriou
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Trading Volume ◽  
Market Liquidity ◽  
Bank Loans ◽  
Bank Loan ◽  
Market Reactions ◽  
Content Type ◽  
Bid Ask Spread ◽  
Long Run

Purpose The purpose of this paper is to examine stock market reactions and liquidity effects following the first bank loan announcement of zero-leverage firms. Design/methodology/approach The authors use an event studies methodology in both a univariate and multivariate framework. The authors also use regression analysis. Findings Using a sample of 96 zero-leverage firms listed on the FTSE 350 index over the time period of 2000–2015, the authors find evidence of a significant and permanent stock price increase as a result of the initial debt announcement. The loan announcement results in a sustained increase in trading volume and liquidity. This improvement continues to persist once the authors control for stock price and trading volume effects in both the short and long run. Furthermore, the authors examine the spread decomposition around the same period, and discover the adverse selection of the bid–ask spread is significantly related to the initial bank loan announcement. Research limitations/implications The results can be attributed to the information cost/liquidity hypothesis, suggesting that investors demand a lower premium for trading stocks with more available information. Originality/value This is the first paper to look at multiple industries, more than one loan and information asymmetry effects.

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