Electricity Intraday Price Modelling with Marked Hawkes Processes

DOI10.1080/1350486X.2023.2180399zbMATH Open1516.91058arXiv2103.07407MaRDI QIDQ6039999FDOQ6039999

Authors: Thomas Deschatre, Pierre Gruet 

Publication date: 24 May 2023

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Abstract: We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent different empirical facts such as increasing market activity, random jump sizes but above all microstructure noise through the signature plot. This last feature is of particular importance for practitioners and has not yet been modeled on those particular markets. We provide analytic formulas for first and second moments and for the signature plot, extending the classic results of Bacry et al. (2013) in the context of Hawkes processes with random jump sizes and time dependent baseline intensity. The tractable model we propose is estimated on German data and seems to fit the data well. We also provide a result about the convergence of the price process to a Brownian motion with increasing volatility at macroscopic scales, highlighting the Samuelson effect.

Full work available at URL: https://arxiv.org/abs/2103.07407

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zbMATH Keywords

microstructure noiseHawkes processeshigh-frequency statisticselectricity intraday prices

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15)

Cites Work

• A cluster process representation of a self-exciting process
• On Lewis' simulation method for point processes
• Some limit theorems for Hawkes processes and application to financial statistics
• An optimal trading problem in intraday electricity markets
• Modelling microstructure noise with mutually exciting point processes
• The significance probability of the Smirnov two-sample test
• Statistical inference across time scales
• The characteristic function of rough Heston models
• Transform analysis for Hawkes processes with applications in dark pool trading

Cited In (5)

• Hawkes processes in energy markets: modelling, estimation and derivatives pricing
• Equilibrium price in intraday electricity markets
• A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
• Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
• Modeling the intraday electricity demand in Germany

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