Fractal properties of some European electricity markets

Sergio Bianchi (), Iva De Bellis and Augusto Pianese

International Journal of Financial Markets and Derivatives, 2010, vol. 1, issue 4, pages 395-421

Abstract: This paper investigates the fractal behaviour of the electric spot prices traded in some European markets. Whereas the analysis leads to exclude the presence of multifractality, we provide evidence supporting the conclusion that the multifractional Brownian motion can represent a good candidate to model the dynamics of electricity prices.

Keywords: electricity markets; multifractional Brownian motion; Otto Holder; pointwise Holder exponents; multifractal models; asset returns; MMAR; Italy; Germany; Nord Pool; Norway; Denmark; Sweden; Finland; Europe; Robert Brown; Chase Bauduin; fractal properties; electric spot prices; stock markets; multifractality; financial markets; applied financial economics (search for similar items in EconPapers)
Date: 2010
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Persistent link: http://EconPapers.repec.org/RePEc:ids:ijfmkd:v:1:y:2010:i:4:p:395-421

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