Exogenous factors for order arrivals on the intraday electricity market
研究了德国日内电力市场交易活动是否受基本面因素和市场因素影响，提出一个包含自激励项和外生因素的点过程模型，发现加入自激励项能改善纯外生模型，而纯自激励模型需加入外生因素才能准确捕捉市场动态。
We examine if the trading activity on the German intraday electricity market is linked to fundamental as well as market-induced factors. Thus, we propose a novel point process model in which the intensity process of order arrivals consists of a self-exciting term and additional exogenous factors, such as the production of renewable energy or the activated volume on the balancing market. The model parameters are estimated by a maximum likelihood approach that explicitly accounts for such factor processes. By comparing the proposed model to several nested models, we investigate whether adding the exogenous factors significantly increases the accuracy of the model fit. We find that intensity processes that only take into account exogenous factors are improved if we add a self-exciting term. On the other hand, to capture the market dynamics correctly, pure self-exciting models need to be extended such that they additionally account for exogenous impacts.