Random Fractal Structures in North American Energy Markets

Apostolos Serletis and Ioannis Andreadis
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Ioannis Andreadis: University of Calgary, Canada

Chapter 18 in Quantitative and Empirical Analysis of Energy Markets, 2007, pp 245-255 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionData and Statistical AnalysisThe Above and Below Test for RandomnessThe Hurst TestA Fractal Noise ModelThe Power SpectrumThe Structure Function TestA Multifractal Data AnalysisOn Turbulent BehaviorConclusion

Keywords: Electricity Markets; Natural Gas Markets; Crude Oil Markets; Forecasting Energy Prices; Energy Markets Volatility; Business Cycles and Energy Prices; Common Features in Energy Markets; Codependent Cycles in Energy Markets; Volatility Modeling in Energy Markets; Chaos; Fractals; and Random Modulations in Energy Markets (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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Journal Article: Random fractal structures in North American energy markets (2004)
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