Anti-correlation and multifractal features of Spain electricity spot market

P. Norouzzadeh, W. Dullaert and B. Rahmani

Physica A: Statistical Mechanics and its Applications, 2007, vol. 380, issue C, 333-342

Abstract: We use multifractal detrended fluctuation analysis (MF-DFA) to numerically investigate correlation, persistence, multifractal properties and scaling behavior of the hourly spot prices for the Spain electricity exchange-Compania O Peradora del Mercado de Electricidad (OMEL). Through multifractal analysis, fluctuations behavior, the scaling exponents and generalized Hurst exponents are studied. Moreover, contribution of fat-tailed probability distributions and nonlinear temporal correlations to multifractality is studied.

Date: 2007
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:380:y:2007:i:c:p:333-342

DOI: 10.1016/j.physa.2007.02.087

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