Modelling Regime Shifts in Continuous Intraday Electricity Markets with State-dependent Hawkes Processes
By Ayoub Jhabli, Tarek AlSkaif, Kwabena E. Bennin, Bedir Tekinerdogan, Axel Naumann, Joost M.E. Pennings
Rating
1817
Battle Count: 51
Relevance
8/10
Highly relevant for high-frequency trading and market making in electricity markets. It provides insights into how liquidity regimes affect order flow dynamics, which is crucial for execution algorithms and risk management in volatile intraday markets.
Implementation Complexity
7/10
Implementing a multivariate state-dependent Hawkes process with analytical gradients and spectral radius penalties requires significant expertise in stochastic processes and numerical optimization. The need for contract-specific fitting adds computational overhead.
Reproducibility
3/5
The paper provides detailed mathematical formulations, parameter initialization strategies, and robustness checks. However, the specific dataset (EPEX SPOT Dutch XBID hourly order data) is proprietary and not publicly available, limiting full external reproduction. The code is not explicitly linked in the provided text.
About this paper
Methodology: State-Dependent Multivariate Hawkes Process. Problem types: Time Series Forecasting, Risk Management, Market Making, Algorithmic Execution.
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