Measuring long-range dependence in electricity prices
AbstractThe price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this feature of electricity returns by means of Hurst R/S analysis, Detrended Fluctuation Analysis and periodogram regression.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number cond-mat/0103621.
Date of creation: Mar 2001
Date of revision:
Publication status: Published in in H. Takayasu ed., "Empirical Science of Financial Fluctuations" (Springer-Verlag Tokyo, 2002), pp. 110-119
Contact details of provider:
Web page: http://arxiv.org/
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lobato, Ignacio N & Savin, N E, 1998.
"Real and Spurious Long-Memory Properties of Stock-Market Data,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 16(3), pages 261-68, July.
- I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996.
- Lobato, I.N. & Savin, N.E., 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Working Papers 96-07, University of Iowa, Department of Economics.
- Rafal Weron & Beata Przybylowicz, 2000.
"Hurst analysis of electricity price dynamics,"
HSC Research Reports
HSC/00/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafal & Przybyłowicz, Beata, 2000. "Hurst analysis of electricity price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 462-468.
- Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume, 1997. "From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 95-129.
- Rafal Weron, 2000.
"Energy price risk management,"
HSC Research Reports
HSC/00/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafal, 2000. "Energy price risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 127-134.
- Thomas Lux, 1996. "Long-term stochastic dependence in financial prices: evidence from the German stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 3(11), pages 701-706.
- Rafal Weron, 2001.
"Estimating long range dependence: finite sample properties and confidence intervals,"
HSC Research Reports
HSC/01/03, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafał, 2002. "Estimating long-range dependence: finite sample properties and confidence intervals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(1), pages 285-299.
- Weron, R. & Kozłowska, B. & Nowicka-Zagrajek, J., 2001. "Modeling electricity loads in California: a continuous-time approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 344-350.
- Josep Perello & Miquel Montero & Luigi Palatella & Ingve Simonsen & Jaume Masoliver, 2006. "Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion," Papers physics/0609066, arXiv.org.
- Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2012. "A note on geometric method-based procedures to calculate the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(6), pages 2209-2214.
- Rafal Weron, 2005. "Market price of risk implied by Asian-style electricity options," Econometrics 0502003, EconWPA.
- Ladislav KRISTOUFEK & Petra LUNACKOVA, 2013.
"Long-term Memory in Electricity Prices: Czech Market Evidence,"
Czech Journal of Economics and Finance (Finance a uver),
Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 407-424, November.
- Ladislav Kristoufek & Petra Lunackova, 2013. "Long-term memory in electricity prices: Czech market evidence," Papers 1309.0582, arXiv.org.
- Ladislav Krištoufek, 2010. "Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009," Politická ekonomie, University of Economics, Prague, vol. 2010(4), pages 471-487.
- Majumder, Debasish, 2012. "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 84-92.
- Sánchez Granero, M.A. & Trinidad Segovia, J.E. & García Pérez, J., 2008. "Some comments on Hurst exponent and the long memory processes on capital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5543-5551.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.