Intensity estimation of transaction arrivals on the intraday electricity market
Year: 2019
Type: preprint
Abstract: In the following paper we present a simple intensity estimation method of transaction arrivals on the intraday electricity market. Assuming the interarrival times distribution, we utilize a maximum likelihood estimation. The method's performance is briefly tested using German Intraday Continuous data. Despite the simplicity of the method, the results are encouraging. The supplementary materials containing the R-codes and the data are attached to this paper.
Source: arXiv (Cornell University)
Authors: Michał Narajewski, Florian Ziel
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2914073060