Measuring Volatility in the Nordic Spot Electricity Market Using Recurrence Quantifcation Analysis

In this work, we have applied Recurrence Quanti¯cation Analysis (RQA) to data sets taken from the Nordic spot electricity market. Our main interest was in trying to correlate their volatility with variables obtained from the quanti¯cation of recurrence plots (RP). For this reason we have based our analysis on known historical events: the evolution of the Nord Pool market and climatic factors, i.e. dry and wet years, and we have compared several dispersion measures with RQA measures in correspondence of these events. The analysis suggests that two RQA measures: DET and LAM can be used as a measure of the inverse of the volatility. The main advantage of using DET and LAM is that these measures provide also information about the underlying dynamics. This fact is shown using shued and linear Gaussian surrogates of the real time series

STROZZI Fernanda;  GUTIERREZ TENREIRO Eugenio;  NOE Carlo;  ROSSI Tomaso;  SERATI M;  ZALDIVAR COMENGES Jose'; 

2008-12-02

EDP SCIENCES S A

JRC46113

1951-6355,   

https://publications.jrc.ec.europa.eu/repository/handle/JRC46113,   

10.1140/epjst/e2008-00837-1,