The first part of this paper establishes some new pieces of evidence on the dynamics of prices and volumes in wholesale electricity day-ahead markets (NordPool, APX, Powernext). The growth of prices is more strongly autocorrelated than the growth of volumes; it is more more heavy-tailed; and its...

It is widely accepted that in liberalized electricity markets log-returns display fat-tailed densities. Besides qualitative assessments, so far precise characterizations of the shape of the distribution have been seldom provided. In this work, we characterize the conditional and unconditional...

In uniform price, sealed-bid day-ahead electricity auctions, the market price is set at the intersection between aggregate demand and supply functions built by a market operator. Each day, just one agent - the marginal generator - owns the market-clearing plant. Day-ahead auctions are moreover...