Graf von Luckner, Nikolaus
[Verfasser:in]
;
Kiesel, Rüdiger
[Mitwirkende:r]
Hawkes processes for modeling event arrivals on the intraday market for electricity deliveries in Germany and their use in optimal market maker pricing
Titel:
Hawkes processes for modeling event arrivals on the intraday market for electricity deliveries in Germany and their use in optimal market maker pricing
Beteiligte:
Graf von Luckner, Nikolaus
[Verfasser:in]
Erschienen:
University of Duisburg-Essen: DuEPublico2 (Duisburg Essen Publications online), 2021-10-05
Anmerkungen:
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Beschreibung:
Market making is a trading strategy on markets with continuous trading which essentially involves enabling other market participants to buy and sell at the market. A market maker needs to decide how much money she requests for selling and how much money she is willing pay for buying. The intraday market for electricity deliveries in Germany has continuous trading in place. This thesis is devoted to the question how a market maker on that market could find her sell and buy prices. The thesis has four parts. The first part is devoted to fundemental aspects of the question under consideration. In the second part different models for how buys and sells arrive in the market are discussed. In the third part a time series model for some of the parameters of the model from the second part is developed and analyzed. The fourth parth is then about a model for the activity of a market maker which yields the prices at which she should offer to sell and buy. The main findings in the last three parts are summarized in the following. One contribution of the second part is empirical evidence for greater intensity of market order arrivals close to gate closure and clustering in market order arrivals. Building on these observations, we address the question whether the Hawkes process is suited to model the clustering. We leave the question whether other models which result in clustering of market order arrivals may also be suited to future research. The same holds true for the assessment which clustering model outperforms the other. The goodness-of-fit of the Hawkes process turns out to be clearly better compared to the same model without excitation. On that basis, we identify some characteristics of the estimated Hawkes processes for each contract. Examples are a strong but short-lived self-excitation, more offspring due to market orders on the same market side than on the other market side, and a strongly negative relationship between the time-zero level of the exponential growth component of the baseline intensity and its ...