This paper presents a theoretical and empirical analysis of liquidity in the German intraday market for electricity …. Two models that aim at explaining intraday liquidity are developed. The first model considers the fundamental merit …-order and intraday adjustment needs as the drivers of liquidity in a perfectly competitive market. The second model relaxes the …

Research on electricity futures markets has to date not explored the role that market liquidity may play in determining … risk premia. Further, no detailed empirical examination of both liquidity and risk premia in the New Zealand electricity … find that liquidity has been gradually increasing and that a policy intervention to impose a maximum bid-offer spread was …

This paper presents a theoretical and empirical analysis of liquidity in the German intraday market for electricity …. Two models that aim at explaining intraday liquidity are developed. The first model considers the fundamental merit …-order and intraday adjustment needs as the drivers of liquidity in a perfectly competitive market. The second model relaxes the …

wholesale electricity markets with limited number of participants. This paper examines the potential for interconnections and … increasing market integration in the Irish Single Electricity Market (SEM). We use a time-varying Kalman filter technique to … assess the degree of market integration between SEM and other large, mature and interconnected wholesale electricity markets …

evolving gas spot markets, like the German spot market, lack of liquidity. In this context, considering storage operators as … describing the storage value and then applying a finite difference scheme. We find that limited liquidity lowers the storage …

evolving gas spot markets, like the German spot market, lack of liquidity. In this context, considering storage operators as … describing the storage value and then applying a finite difference scheme. We find that limited liquidity lowers the storage …

This paper investigates the relationship between volatility and liquidity on the German electricity futures market … empirical intraday prices are not equally spaced in time. Empirical evidence suggests that volatility of electricity futures … decreases as time approaches maturity, while coincidently liquidity increases. Established continuous-time stochastic models for …

adverse shocks to speculator funding liquidity as determinant of synchronized price drops across energy markets. The …

This article investigates mean risk hedging with respect to limited liquidity and studies the impact of different risk … measures on the hedging strategies. For motivation and application purposes hedging in electricity markets is chosen, because … the relevant hedging markets are characterized by limited liquidity. We enhance the approach in Woll and Weber (2015) to a …

to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model …In principle, portfolio optimization in electricity markets can make use of the standard mean-variance model going back … has to be adapted to cope with limited liquidity. An application of this model shows that the optimal hedging strategy for …