Hurst analysis of electricity price dynamics

被引：80

作者：

Weron, R ^{[1
]}

Przybylowicz, B ^{[1
]}

机构：

[1] Wroclaw Tech Univ, Hugo Steinhaus Ctr Stochast Methods, PL-50370 Wroclaw, Poland

来源：

PHYSICA A | 2000年 / 283卷 / 3-4期

关键词：

econophysics; electricity price; mean-reversion; Hurst analysis;

D O I：

10.1016/S0378-4371(00)00231-4

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The price of electricity is extremely volatile, because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this feature of electricity returns by means of Hurst R/S analysis. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：462 / 468

页数：7

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