---
title: Intraday Volatility in Energy Markets
url: https://www.ml-quant.com/papers/ssrn/4908775/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4908775
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4908775
featured: 2024-07-31
citations: unknown
topic: Derivatives & Volatility
---


# Intraday Volatility in Energy Markets

A model for volatility transmission in international energy markets is presented, showing that volatility is influenced by regional and preceding volatility, with non-Gaussian innovations enhancing the model's accuracy.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4908775
- Identifier: SSRN 4908775
- Released: 2024-07-29
- First featured: Quant Letter No. 59 (2024-07-31): https://www.ml-quant.com/issues/2024-07-31/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Deep Hedging of Green PPAs in Electricity Markets](https://www.ml-quant.com/papers/arxiv/2503.13056/): The paper introduces a 'deep hedging' approach using machine learning to develop hedging strategies in power markets, specifically for Green Power Purchase Agreements, which are subject to price and weather risks.
- [Risk Valuation of Quanto Derivatives on Temperature and Electricity](https://www.ml-quant.com/papers/arxiv/2310.07692/): Risk Valuation: The article introduces a model that predicts daily electricity prices and average temperatures, offering a way to manage price and volume risks, and includes formulas for derivatives like quanto options.
- [Heath–Jarrow–Morton meet lifted Heston in energy markets for joint historical and implied calibration](https://www.ml-quant.com/papers/arxiv/2501.05975/): A multiplicative multi-factor model is suggested to align historical correlations of futures contracts with implied volatility smiles in energy markets.
- [Energy Market Calibration](https://www.ml-quant.com/papers/ssrn/5094585/): The article proposes a model to align historical correlations of futures contracts with implied volatility smiles using two specific mathematical models.
- [Natural Gas Pricing](https://www.ml-quant.com/papers/ssrn/5198298/): The study suggests a no-arbitrage model that combines a seasonal stochastic convenience yield and a local volatility factor to accurately predict natural gas spot futures and options prices.
- [Market Power Abuse Electricity Markets](https://www.ml-quant.com/papers/ssrn/5286366/): The study examines the relationship between hedging and potential market power abuse in wholesale electricity markets, calculating the hourly economic incentives for non-competitive behavior.