IDEAS home Printed from https://ideas.repec.org/a/taf/apmtfi/v29y2022i4p227-260.html
   My bibliography  Save this article

Electricity Intraday Price Modelling with Marked Hawkes Processes

Author

Listed:
  • Thomas Deschatre
  • Pierre Gruet

Abstract

We consider a two-dimensional marked Hawkes process with increasing baseline intensity 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 modelled 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. [2013a. ‘Modelling Microstructure Noise with Mutually Exciting Point Processes.’ Quantitative Finance 13 (1): 65–77. doi:10.1080/14697688.2011.647054.] 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.

Suggested Citation

  • Thomas Deschatre & Pierre Gruet, 2022. "Electricity Intraday Price Modelling with Marked Hawkes Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 29(4), pages 227-260, July.
    • Handle: RePEc:taf:apmtfi:v:29:y:2022:i:4:p:227-260
    DOI: 10.1080/1350486X.2023.2180399
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1350486X.2023.2180399
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1350486X.2023.2180399?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Philippe Bergault & Enzo Cogn'eville, 2024. "Simulating and analyzing a sparse order book: an application to intraday electricity markets," Papers 2410.06839, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apmtfi:v:29:y:2022:i:4:p:227-260. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAMF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.