EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
Hurst analysis of electricity price dynamics
Rafał Weron Beata Przybylowicz
HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology
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.
Keywords: Econophysics; Electricity price; Mean-reversion; Hurst analysis (search for similar items in EconPapers)
JEL-codes: C46 Q40 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc Citations View citations in EconPapers (11) Track citations by RSS feed
Published in Physica A 283 (2000) 462-468.
Downloads: (external link) http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_00_01.pdf Final draft, 2000 (application/pdf)
Related works: Journal Article: Hurst analysis of electricity price dynamics (2000) 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:wuu:wpaper:hsc0001
Access Statistics for this paper
More papers in HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology
Contact information at EDIRC. Series data maintained by Rafal Weron ().