Multifractal analysis of Power Markets. Some empirical evidence

Marina Resta ()

Econometrics from University Library of Munich, Germany

Abstract: This work is intended to offer a comparative analysis of the statistical properties of hourly prices in the day–ahead electricity markets of several countries. Starting from the intermittent nature of typical price fluctuations in many power markets, we will provide evidence that working into a stochastic multifractal analysis framework can be of help to asses typical features of day–ahead market prices.

Keywords: Multifractals; Hurst Coefficient; Power Markets (search for similar items in EconPapers)
JEL-codes: C0 C5 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2004-10-03
New Economics Papers: this item is included in nep-rmg
Note: Type of Document - pdf; pages: 11
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0410002

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