Time series analysis and long range correlations of Nordic spot electricity market data

被引：21

作者：

Erzgraber, Hartmut ^{[1
]}

Strozzi, Fernanda ^{[2
]}

Zaldivar, Jose-manuel ^{[3
]}

Touchette, Hugo ^{[1
]}

Gutierrez, Eugenio ^{[3
]}

Arrowsmith, David K. ^{[1
]}

机构：

[1] Univ London, Sch Math Sci, London E1 4NS, England

[2] LIUC Univ Cattaneo, Quantitat Methods Inst, I-21053 Castellanza, VA, Italy

[3] Commiss European Communities, Joint Res Ctr, I-21020 Ispra, Italy

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 26期

关键词：

Hurst exponent; Nonlinear time series analysis; Long range correlations;

D O I：

10.1016/j.physa.2008.07.030

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：6567 / 6574

页数：8

共 42 条

[1] Second-order moving average and scaling of stochastic time series [J].