Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets

Ingve Simonsen

Papers from arXiv.org

Abstract: We consider the Nordic electricity spot market from mid 1992 to the end of year 2000. This market is found to be well approximated by an anti-persistent self-affine (mean-reverting) walk. It is characterized by a Hurst exponent of $H\simeq 0.41$ over three orders of magnitude in time ranging from days to years. We argue that in order to see such a good scaling behavior, and to locate cross-overs, it is crucial that an analyzing technique is used that {\em decouples} scales. This is in our case achieved by utilizing a (multi-scale) wavelet approach. The shortcomings of methods that do not decouple scales are illustrated by applying, to the same dat a set, the classic $R/S$- and Fourier techniques, for which scaling regimes and/or positions of cross-overs are hard to define.

Date: 2001-08, Revised 2003-04
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Citations: View citations in EconPapers (40)

Published in Physica A 322, 597 (2003).

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