Intensity estimation of transaction arrivals on the intraday electricity market

01/28/2019

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by   Michał Narajewski, et al.

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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.