کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
976965 1480194 2007 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The stability of electricity prices: Estimation and inference of the Lyapunov exponents
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
The stability of electricity prices: Estimation and inference of the Lyapunov exponents
چکیده انگلیسی

The aim of this paper is to illustrate how the stability of a stochastic dynamic system is measured using the Lyapunov exponents. Specifically, we use a feedforward neural network to estimate these exponents as well as asymptotic results for this estimator to test for unstable (chaotic) dynamics. The data set used is spot electricity prices from the Nordic power exchange market, Nord Pool, and the dynamic system that generates these prices appears to be chaotic in one case since the null hypothesis of a non-positive largest Lyapunov exponent is rejected at the 1 per cent level.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 376, 15 March 2007, Pages 565–572
نویسندگان
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