Frequent Auctions for Intraday Electricity Markets
提出用频繁拍卖替代连续交易作为日内电力市场的交易机制，通过对比德国市场数据发现，拍卖能降低流动性成本、减少价格噪音，更适合稀疏交易的市场环境。
Continuous trading is currently becoming the standard for intraday electricity markets. In this paper, we propose frequent auctions as a viable alternative. We argue that batching orders in auctions potentially leads to lower liquidity cost, more reliable, less noisy price signals, and allows for better alignment of market outcomes with the technical realities of the transmission grid. In an empirical study, we compare the German continuous intraday market with counterfactual outcomes from frequent auctions. We find that traded volumes tend to be higher for continuous trading; however, the auction market benefits from lower liquidity costs and less noisy price signals. Furthermore, we critically discuss the suitability of continuous trading in the presence of network constraints and technical restrictions of conventional units. Taken together these findings suggest that in sparsely traded intraday markets, pooling orders in frequent auctions may be beneficial.