  During the last years, European intraday power markets have gained importance
for balancing forecast errors due to the rising volumes of intermittent
renewable generation. However, compared to day-ahead markets, the drivers for
the intraday price process are still sparsely researched. In this paper, we
propose a modelling strategy for the location, shape and scale parameters of
the return distribution in intraday markets, based on fundamental variables. We
consider wind and solar forecasts and their intraday updates, outages, price
information and a novel measure for the shape of the merit-order, derived from
spot auction curves as explanatory variables. We validate our modelling by
simulating price paths and compare the probabilistic forecasting performance of
our model to benchmark models in a forecasting study for the German market. The
approach yields significant improvements in the forecasting performance,
especially in the tails of the distribution. At the same time, we are able to
derive the contribution of the driving variables. We find that, apart from the
first lag of the price changes, none of our fundamental variables have
explanatory power for the expected value of the intraday returns. This implies
weak-form market efficiency as renewable forecast changes and outage
information seems to be priced in by the market. We find that the volatility is
driven by the merit-order regime, the time to delivery and the closure of
cross-border order books. The tail of the distribution is mainly influenced by
past price differences and trading activity. Our approach is directly
transferable to other continuous intraday markets in Europe.
