| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 976836 | Physica A: Statistical Mechanics and its Applications | 2015 | 8 Pages |
Abstract
•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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Dipak Ghosh, Srimonti Dutta, Sayantan Chakraborty,