Time Series Analysis and Long Range Correlations of Nordic Spot Electricity Market Data

ERZGRABER, Hartmut; STROZZI, Fernanda; ZALDIVAR, COMENGES Jose'; TOUCHETTE, Hugo; GUTIERREZ, TENREIRO Eugenio; ARROWSMITH, David

doi:10.1016/j.physa.2008.07.030

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Time Series Analysis and Long Range Correlations of Nordic Spot Electricity Market Data

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.

ERZGRABER Hartmut; STROZZI Fernanda; ZALDIVAR COMENGES Jose'; TOUCHETTE Hugo; GUTIERREZ TENREIRO Eugenio; ARROWSMITH David;

2008-10-02

ELSEVIER SCIENCE BV

JRC46115

0378-4371,

http://dx.doi.org/10.1016/j.physa.2008.07.030, https://publications.jrc.ec.europa.eu/repository/handle/JRC46115,

10.1016/j.physa.2008.07.030,

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