Time series analysis and long range correlations of Nordic spot electricity market data

Hartmut Erzgräber, Fernanda Strozzi, José-Manuel Zaldívar, Hugo Touchette, Eugénio Gutiérrez and David K. Arrowsmith

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 26, 6567-6574

Abstract: The electricity system price of the Nord Pool spot market is analysed. Different time scale analysis tools are assessed with focus on the Hurst exponent and long range correlations. Daily and weekly periodicities of the spot market are identified. Even though space time separation plots suggest more stationary behaviour than other financial time series, we find large fluctuations of the spot price market which suggest time-dependent scaling parameters.

Keywords: Hurst exponent; Nonlinear time series analysis; Long range correlations (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:26:p:6567-6574

DOI: 10.1016/j.physa.2008.07.030

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