کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10482309 | 933412 | 2005 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Volatility of power markets
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Volatility features of the Nordic day ahead power spot market for a 12-year period up till May 2004 are studied. The daily logarithmic volatility was measured for this period to be about 16%. This level is well above what is observed for most other well-studied financial markets. Volatility clustering, log-normal distribution, and long-range correlations are found to be striking features of the volatility of power markets. In addition, a cyclic behavior of the time-dependent volatility can be observed for the Nordic power market. Furthermore, the volatility shows a dependence on the price level, and this is pronounced mostly when the spot price is low. The correlation in volatility is consistent with an inverse power-law decay, Ï-ν, superposed on an oscillating term. The numerical value of the exponent ν is similar to what has been reported previously for stock markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 355, Issue 1, 1 September 2005, Pages 10-20
Journal: Physica A: Statistical Mechanics and its Applications - Volume 355, Issue 1, 1 September 2005, Pages 10-20
نویسندگان
Ingve Simonsen,