December - 2019
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Attila András Víg

Attila András Víg

is a PhD student at the Department of Finance at Corvinus University of Budapest. His main research area is heterogeneous agent modeling of financial markets. He received his bachelor’s degree in finance from Corvinus University of Budapest, and his master’s degree in financial mathematics from Eötvös Loránd University. His e-mail address is: attila.vig@uni-corvinus.hu

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Mátyás Bajai, Olivér Hortay, Attila A. Víg: Market Liquidity Analysis on the HUPX Day-Ahead Market

The purpose of this article is to analyze the day-ahead (DAM) price processes and its’ liquidity indicators on the Hungarian Power Exchange (HUPX). The paper presents the actualities of the electricity market and the special nature of its’ price processes. Most theoretical frameworks are parametrized on the basis of higher liquidity exchanges, such as the European Energy Exchange (EEX), which differ in some respects from smaller markets, such as HUPX. Articles are rare that target the analysis of liquidity indicators of the power markets, furthermore in Hungarian prospective they are non-existing. I have gained access to an exclusive dataset, the day-ahead order books of the Hungarian Power Exchange. Due to this dataset I obtain all the demand and supply side bids for each hour from 2010 until the end of 2018. I observe the effect that the change in liquidity indicates on the prevailing market price, the correlation between the price spikes and the market liquidity.

Last modified: 2019.09.20.