arXiv q-fin· Ayoub Jhabli, Tarek Alskaif, Kwabena E. Bennin, Bedir Tekinerdogan, Joost M. E. Pennings·· 2 days agoAI Score46
Cross-Product Modeling in Continuous Intraday Electricity Markets Based on Hawkes Processes
Cross-product Modelling in Continuous Intraday Electricity Markets via Hawkes Processes
AI summary
This paper proposes a multivariate state-dependent Hawkes process (SDHP) to model cross-product liquidity dynamics between quarter-hourly and hourly contracts in the Dutch EPEX SPOT continuous intraday market. The model is calibrated using Level 3 order book data from the first month of each quarter in 2024, dividing trading sessions into normal and stress states. The study finds that approximately 95% of orders are driven by their own order flow, with cross-excitation primarily flowing from quarter-hourly contracts to hourly contracts, and this dominance significantly weakens in stress states.
Source:arXiv q-fin · arxiv.org
Machine LearningHigh-Frequency and Market MicrostructurePaper Research#Papers / Research#High-Frequency / Market Microstructure#Machine Learning#arXiv