| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 975611 | Physica A: Statistical Mechanics and its Applications | 2007 | 10 Pages |
Abstract
We use multifractal detrended fluctuation analysis (MF-DFA) to numerically investigate correlation, persistence, multifractal properties and scaling behavior of the hourly spot prices for the Spain electricity exchange-Compania O Peradora del Mercado de Electricidad (OMEL). Through multifractal analysis, fluctuations behavior, the scaling exponents and generalized Hurst exponents are studied. Moreover, contribution of fat-tailed probability distributions and nonlinear temporal correlations to multifractality is studied.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
P. Norouzzadeh, W. Dullaert, B. Rahmani,