The Recurrence Interval Difference of Power Load in Heavy/Light Industries of China

Chi Zhang, Zhengning Pu and Jiasha Fu
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Chi Zhang: School of Economics and Management, Southeast University, Nanjing 211102, China
Zhengning Pu: School of Economics and Management, Southeast University, Nanjing 211102, China
Jiasha Fu: Research Institute of Economics and Management, Southwestern University of Finance and Economics, 55 Guanghuacun Street, Chengdu 610074, China

Energies, 2018, vol. 11, issue 1, 1-20

Abstract: The significant fluctuation of industrial electricity consumption has a high impact on power load, which makes the research on recurrence intervals between extreme events of theoretical and practical significance. The study uses a high-frequency data of heavy and light industries and employs recurrence interval analysis in different thresholds. We find that the reoccurrence interval of volatility can fit with the stretched exponential function and the probability density functions of recurrence intervals in various thresholds shows a scaling behavior. Then, the conditional probability density function and the multifractal detrended fluctuation analysis demonstrate the existence of short-range correlation, long-range correlation, and multifractal properties, respectively. We further construct a hazard function, introduce recurrence intervals into VaR calculation and establish a functional relationship between average recurrence interval and threshold. Following this result, we also shed light on policy discussion for multi-industrial electricity supply management.

Keywords: electricity fluctuation; recurrence interval analysis; risk estimation (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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