The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent

Mikael Bask, Tung Liu () and Anna Widerberg ()

No 200603, Working Papers from Ball State University, Department of Economics

Abstract: The aim of this paper is to illustrate how the stability of a stochastic dynamic system is measured using the Lyapunov exponents. Specifically, we use a feedforward neural network to estimate these exponents as well as asymptotic results for this estimator to test for unstable (chaotic) dynamics. The data set used is spot electricity prices from the Nordic power exchange market, Nord Pool, and the dynamic system that generates these prices appears to be chaotic in one case.

Keywords: Feedforward Neural Network; Nord Pool; Lyapunov Exponents; Spot Electricity Prices; Stochastic Dynamic System (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2006-04, Revised 2006-04
New Economics Papers: this item is included in nep-cmp, nep-ecm, nep-ene and nep-mic
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published in Physica A, 2007, vol. 376, pp. 565-572

Downloads: (external link)
http://econfac.bsu.edu/research/workingpapers/bsuecwp200603bask.pdf First version, 2006 (application/pdf)

Related works:
Journal Article: The stability of electricity prices: Estimation and inference of the Lyapunov exponents (2007)
Working Paper: The stability of electricity prices: estimation and inference of the Lyapunov exponents (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:bsu:wpaper:200603

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