Since their liberalization, the electricity markets are characterized by a rather\nhigh volatility, which includes price spikes as one of the stylized and specific\ncharacteristics of this market. In this paper, we investigate the factors and\nmechanisms determining these spikes. Based on the Italian electricity market\ndata, we perform a specific analysis of the auctions mechanisms and of the\nhourly bid and offer of electricity characteristics, for determining how and\nwhy do price spikes occur.
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