Multifractal Detrended Cross-correlation Analysis of Market Clearing Price of electricity and SENSEX in India

• We analyze Market Clearing Price of Electricity biding price in India.
• Data from all over the country was analyzed.
• Cross-correlation analysis of Electricity Market Clearing Price and SENSEX in India using MF-DXA technique.

This paper reports a study on the cross-correlation between the electric bid price and SENSEX using Multifractal Detrended Cross-correlation Analysis (MF-DXA). MF-DXA is a very rigorous and robust technique for assessment of cross-correction between two non-linear time series. The study reveals power law cross-correlation between Market Clearing Price (MCP) and SENSEX which suggests that a change in the value of one can create a subjective change in the value of the other.