Luckner, Nikolaus von <Graf>; Kiesel, Rüdiger - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-31
We use point processes to analyze market order arrivals on the intraday market for hourly electricity deliveries in Germany in the second quarter of 2015. As we distinguish between buys and sells, we work in a multivariate setting. We model the arrivals with a Hawkes process whose baseline...