Cross-Product Hawkes Model Reveals Liquidity Dependence in Intraday Electricity Markets
ORIGINAL / Cross-product Modelling in Continuous Intraday Electricity Markets via Hawkes Processes
The study proposes a multivariate state-dependent Hawkes process to model cross-product liquidity dynamics between quarter-hourly and hourly contracts in the Dutch EPEX SPOT intraday continuous market, distinguishing normal and stressed regimes. Its novelty lies in quantifying how cross-product excitation weakens in direction and accelerates in speed under stress, helping to understand hidden liquidity dependencies among overlapping contracts.
01 ABSTRACT
Using a multivariate state-dependent Hawkes process, the study analyzes order flow interactions between quarter-hourly and hourly intraday continuous contracts, finding that order flow is overwhelmingly self-driven (about 95%) and cross-excitation runs mainly from quarter-hourly to hourly contracts. Under stress, this leadership weakens (cumulative cross-excitation ratio falls from 2.8 to 1.5) and the quarter-hourly-to-hourly excitation lag shortens from 6.05 to 0.93 seconds. The authors interpret this as contracts influencing each other almost equally under stress and seasonal differences disappearing.
02 KEY FINDINGS
- Order flow is predominantly self-excited: about 95% of orders arrive in reaction to earlier orders in both normal and stressed regimes.
- Cross-excitation runs mainly from quarter-hourly to hourly contracts; under stress the cumulative cross-excitation ratio falls from 2.8 to 1.5, weakening this leadership.
- Stress makes the quarter-hourly-to-hourly channel much faster, cutting mean lag from 6.05 to 0.93 seconds, and the seasonal variation in calm periods largely disappears under stress.
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