Hurst analysis of electricity price dynamics

Rafał Weron and Beata Przybyłowicz

Physica A: Statistical Mechanics and its Applications, 2000, vol. 283, issue 3, 462-468

Abstract: 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)
Date: 2000
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Citations: View citations in EconPapers (43)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:283:y:2000:i:3:p:462-468

DOI: 10.1016/S0378-4371(00)00231-4

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