Measuring long-range dependence in electricity prices

Details Measuring long-range dependence in electricity prices Measuring long-range dependence in electricity prices

2001-03-30

arxiv.org/abs/cond-mat/0103621v1

in H. Takayasu ed., "Empirical Science of Financial Fluctuations" (Springer-Verlag Tokyo, 2002), pp. 110-119

Physics

Condensed Matter

Statistical Mechanics

7 pages, 2 figures. To appear in "Empirical Science of Financial Fluctuations", Tokyo, Nov. 2000 (Springer Verlag 2001)

Scientific paper

The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. 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, Detrended Fluctuation Analysis and periodogram regression.

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