Fine structure of the price-demand relationship in the electricity market: Multi-scale correlation analysis

- Multi-scale correlation analysis allows to understand more deeply price-demand relationship in the electricity market
- We used a modified method of TDIC calculation, based on CEEMDAN.
- Complex multi-scale behaviour of the price-demand correlation, as well as its dependence on time was showed
- The impact of demand seasonality types to the price depends on the structure of generation and consumption

In this research we investigate the problems of dynamic relationship between electricity price and demand over different time scales for two largest price zones of the Russian wholesale electricity market. We use multi-scale correlation analysis based on a modified method of time-dependent intrinsic correlation and the complete ensemble empirical mode decomposition with adaptive noise for this purpose. Three hypotheses on the type and strength of correlations in the short-, medium- and long-runs were tested. It is shown that price zones significantly differ in internal price-demand correlation structure over the comparable time scales, and not each of the theoretically formulated hypotheses is true for each of them. We can conclude that the answer to the question whether it is necessary to take into account the influence of demand-side on electricity spot prices over different time scales, is significantly dependent on the structure of electricity generation and consumption on the corresponding market.