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Hurst analysis of electricity price dynamics

Rafał Weron () and Beata Przybylowicz

No HSC/00/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology

Abstract: The price of electricity is extremely volatile, because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this feature of electricity returns by means of Hurst R/S analysis.

Keywords: Econophysics; Electricity price; Mean-reversion; Hurst analysis (search for similar items in EconPapers)
JEL-codes: C46 Q40 (search for similar items in EconPapers)
Date: 2000
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Published in Physica A 283 (2000) 462-468.

Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_00_01.pdf Final draft, 2000 (application/pdf)

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