From Intraday Orderbook to Imbalance Price: Understanding Cross-Market Interaction

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Highly relevant for participants in electricity markets, particularly those engaging in intraday trading and balancing market speculation. It provides insights into how orderbook signals predict imbalance prices, which is crucial for optimizing trading positions and managing imbalance exposure.

Moderate complexity. Requires handling high-frequency orderbook data, feature engineering (VWAP, OHLCV), and training both linear and non-linear quantile regression models. The main barrier is data acquisition and preprocessing of irregularly sampled orderbook data.

The paper details the methodology, hyperparameter search ranges, and data sources (EPEX Spot, ENTSO-E). However, the orderbook data is commercial and not freely available, which limits full reproducibility without purchasing data access.