Researchers propose SDHP model to characterize cross-product liquidity dynamics in intraday electricity markets
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Researchers including Ayoub Jhabli et al. propose a multivariate state-dependent Hawkes process (SDHP) to model cross-product liquidity dynamics between quarter-hour and hourly contracts in the Dutch EPEX SPOT intraday continuous 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 based on a composite indicator of bid-ask spread, mid-price volatility, and queue imbalance. The study finds that approximately 95% of orders are driven by their own order flow, with cross-excitation mainly flowing from quarter-hour contracts to hourly contracts, and this dominance significantly weakens under stress states.
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- arXiv q-finCross-Product Modeling in Continuous Intraday Electricity Markets Based on Hawkes Processes
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.
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