Fractal Characterization of Long Memory in Electricity Prices

Yuri Balagula

No 2016/03, EUSP Department of Economics Working Paper Series from European University at St. Petersburg, Department of Economics

Abstract: In the paper we use different methods of fractal analysis for characterization of long memory and other features of wholesale electricity prices. The connection between different characteristics of time series, such as capacity fractal dimension, Hurst exponent, spectral dimension, fractional integration order, is shown. The relation between the notions of long memory, fractional integration and persistence of a time series is considered. We calculated the fractal characteristics for wholesale electricity prices taken from electricity exchanges of Northern Europe, Italia and Ontario (Canada). The results show that the analyzed time series are persistent and reveal the long memory property. (In Russian).

Keywords: time series; fractal analysis; fractal dimension; Hurst exponent; ARFIMA; long memory; persistence; electricity market (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2016-07-04
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Citations: View citations in EconPapers (1)

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