Trading volumes in intraday markets: Theoretical reference model and empirical observations in selected European markets
作者： Christoph Weber , Simon Hagemann
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摘要: This paper presents an analytical benchmark model for national intraday adjustment needs under consideration of fundamental drivers, market concentration and portfolio internal netting. The is used to calculate the outcomes if (i) large small players as well transmissions operators trade (ii) only transmission system trade. Transaction costs may prevent competitive fringe from participation. theoretical trading volumes are calculated with data three European countries auction-based markets (Italy, Portugal, Spain) four continuous (Denmark, France, Germany, United Kingdom). results allow two main conclusions: not on exchanges in Denmark France but Germany. second conclusion that high observed cannot be explained by fundamentals or design mainly caused peculiarities. same result applies UK.
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socionet.ru参考文章(28)
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