Title: Time Series Analysis and Long Range Correlations of Nordic Spot Electricity Market Data
Authors: ERZGRABER HartmutSTROZZI FernandaZALDIVAR COMENGES JOSE'TOUCHETTE HugoGUTIERREZ TENREIRO EUGENIOARROWSMITH David
Citation: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS vol. 387 p. 6567-6574
Publisher: ELSEVIER SCIENCE BV
Publication Year: 2008
JRC Publication N°: JRC46115
ISSN: 0378-4371
URI: http://dx.doi.org/10.1016/j.physa.2008.07.030
http://publications.jrc.ec.europa.eu/repository/handle/JRC46115
DOI: 10.1016/j.physa.2008.07.030
Type: Articles in Journals
Abstract: The electricity system price of the Nord Pool spot market is analysed. Different time scale analysis tools are assessed with focus on the Hurst exponent and long range correlations. Daily and weekly periodicities of the spot market are identified. Even though space time separation plots suggest more stationary behaviour than other financial time series, we find large fluctuations of the spot price market which suggest time-dependent scaling parameters.
JRC Institute:Institute for the Protection and Security of the Citizen

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