Dependency-Aware Clustering of Time Series and Its Application on Energy Markets

María Del Carmen Ruiz-Abellón, Antonio Gabaldón and Antonio Guillamón
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María Del Carmen Ruiz-Abellón: Department of Applied Mathematics and Statistics, Universidad Politécnica de Cartagena, Cartagena 30202, Spain
Antonio Gabaldón: Department of Electrical Engineering, Universidad Politécnica de Cartagena, Cartagena 30202, Spain
Antonio Guillamón: Department of Applied Mathematics and Statistics, Universidad Politécnica de Cartagena, Cartagena 30202, Spain

Energies, 2016, vol. 9, issue 10, 1-22

Abstract: In this paper, we propose a novel approach for clustering time series, which combines three well-known aspects: a permutation-based coding of the time series, several distance measurements for discrete distributions and hierarchical clustering using different linkages. The proposed method classifies a set of time series into homogeneous groups, according to the degree of dependency among them. That is, time series with a high level of dependency will lie in the same cluster. Moreover, taking into account the nature of the codifying process, the method allows us to detect linear and nonlinear dependences. To illustrate the procedure, a set of fourteen electricity price series coming from different wholesale electricity markets worldwide was analyzed. We show that the classification results are consistent with the characteristics of the electricity markets in the study and with their degree of integration. Besides, we outline the necessity of removing the seasonal component of the price series before the analysis and the capability of the method to detect changes in the dependence level along time.

Keywords: time series clustering; entropy; information theory; electricity markets (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: 2016
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