The Spanish Electricity Intraday Market: Prices and Liquidity Risk

This paper carries out a comparative analysis between the Spanish day-ahead market and the intraday market. Due to electricity's features, it is very important to program generation electricity in advance. The Spanish electricity market includes a peculiar intraday market in which agents can trade their electricity after the day-ahead market closes, through six consecutive trading sessions. It allows agents to rectify their positions as delivery time approaches. As well as price convergence between both markets, we analyse the way in which the intraday market is used by market agents and propose a measure as a proxy for auction market liquidity.