Measuring anti-correlations in the nordic electricity spot market by wavelets

Simonsen, Ingve

Measuring anti-correlations in the nordic electricity spot market by wavelets

Ingve Simonsen

Physica A: Statistical Mechanics and its Applications, 2003, vol. 322, issue C, 597-606

Abstract: We consider the Nordic electricity spot market from mid-1992 to the end of year 2000. This market is found to be well approximated by an anti-persistent self-affine (mean-reverting) walk. It is characterized by a Hurst exponent of H≃0.41 over three orders of magnitude in time ranging from days to years. We argue that in order to see such a good scaling behavior, and to locate cross-overs, it is crucial that an analyzing technique is used that decouples scales. This is in our case achieved by utilizing a (multi-scale) wavelet approach. The shortcomings of methods that do not decouple scales are illustrated by applying, to the same data set, the classic R/S- and Fourier techniques, for which scaling regimes and/or positions of cross-overs are hard to define.

Keywords: Econophysics; Anti-correlation; Self-affine; Measuring Hurst exponents; Wavelet transform (search for similar items in EconPapers)
Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:322:y:2003:i:c:p:597-606

DOI: 10.1016/S0378-4371(02)01938-6

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