Asymmetric multiscale detrended fluctuation analysis of California electricity spot price

Qingju Fan

Physica A: Statistical Mechanics and its Applications, 2016, vol. 442, issue C, 252-260

Abstract: In this paper, we develop a new method called asymmetric multiscale detrended fluctuation analysis, which is an extension of asymmetric detrended fluctuation analysis (A-DFA) and can assess the asymmetry correlation properties of series with a variable scale range. We investigate the asymmetric correlations in California 1999–2000 power market after filtering some periodic trends by empirical mode decomposition (EMD). Our findings show the coexistence of symmetric and asymmetric correlations in the price series of 1999 and strong asymmetric correlations in 2000. What is more, we detect subtle correlation properties of the upward and downward price series for most larger scale intervals in 2000. Meanwhile, the fluctuations of Δα(s) (asymmetry) and |Δα(s)| (absolute asymmetry) are more significant in 2000 than that in 1999 for larger scale intervals, and they have similar characteristics for smaller scale intervals. We conclude that the strong asymmetry property and different correlation properties of upward and downward price series for larger scale intervals in 2000 have important implications on the collapse of California power market, and our findings shed a new light on the underlying mechanisms of power price.

Keywords: Multiscale detrended fluctuation analysis; Scaling exponent spectrum; Asymmetric correlation; Empirical mode decomposition (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:442:y:2016:i:c:p:252-260

DOI: 10.1016/j.physa.2015.08.056

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