Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
977654 | Physica A: Statistical Mechanics and its Applications | 2008 | 8 Pages |
Abstract
The electricity system price of the Nord Pool spot market is analysed. Different time scale analysis tools are assessed with focus on the Hurst exponent and long range correlations. Daily and weekly periodicities of the spot market are identified. Even though space time separation plots suggest more stationary behaviour than other financial time series, we find large fluctuations of the spot price market which suggest time-dependent scaling parameters.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Hartmut Erzgräber, Fernanda Strozzi, José-Manuel ZaldÃvar, Hugo Touchette, Eugénio Gutiérrez, David K. Arrowsmith,