EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent
Mikael Bask () and
Tung Liu ()
Working Papers from Ball State University, Department of Economics
The aim of this paper is to illustrate how the stability of a stochastic dynamic system is measured using the Lyapunov exponents. Specifically, we use a feedforward neural network to estimate these exponents as well as asymptotic results for this estimator to test for unstable (chaotic) dynamics. The data set used is spot electricity prices from the Nordic power exchange market, Nord Pool, and the dynamic system that generates these prices appears to be chaotic in one case.
Keywords: Feedforward Neural Network; Nord Pool; Lyapunov Exponents; Spot Electricity Prices; Stochastic Dynamic System (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-ecm, nep-ene and nep-mic
Date: 2006-04, Revised 2006-04
References: View references in EconPapers View complete reference list from CitEc Citations View citations in EconPapers (2) Track citations by RSS feed
Published in Physica A, 2007, vol. 376, pp. 565-572
Downloads: (external link) http://econfac.iweb.bsu.edu/research/workingpapers/bsuecwp200603bask.pdf First version, 2006 (application/pdf)
Related works: Journal Article: The stability of electricity prices: Estimation and inference of the Lyapunov exponents (2007) Working Paper: The stability of electricity prices: estimation and inference of the Lyapunov exponents (2006) This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:bsu:wpaper:200603
Access Statistics for this paper
More papers in Working Papers from Ball State University, Department of Economics
Contact information at EDIRC. Series data maintained by Tung Liu ().