Auction and continuous market for power : organization and microstructure.

Summary This thesis focuses on electricity spot markets and more particularly on their organization and design. Indeed, the electricity industry is facing new challenges due to the increase of renewable generation capacity but also due to more structural changes related to the behavior of actors. The first chapter of the thesis studies in detail the formation of liquidity in the German continuous market. In particular, it focuses on the evolution of the bid-ask spread during a trading session and the factors that influence it. In a second chapter, I quantitatively evaluate the effect of creating an auction before the start of a continuous market on liquidity, volatility and market concentration. The last part of the thesis theoretically studies the impact of vertical integration in sequential markets as well as the impact of real-time pricing for end consumers on the behavior of market participants.