The stability of electricity prices: estimation and inference of the Lyapunov exponents
AbstractThe 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.
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Bibliographic InfoPaper provided by Bank of Finland in its series Research Discussion Papers with number 9/2006.
Length: 23 pages
Date of creation: 12 Jun 2006
Date of revision:
feedforward neural network; Nord Pool; Lyapunov exponents; spot electricity prices; stochastic dynamic system;
Other versions of this item:
- Bask, Mikael & Liu, Tung & Widerberg, Anna, 2007. "The stability of electricity prices: Estimation and inference of the Lyapunov exponents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 565-572.
- Mikael Bask & Tung Liu & Anna Widerberg, 2006. "The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent," Working Papers 200603, Ball State University, Department of Economics, revised Apr 2006.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-21 (All new papers)
- NEP-CMP-2006-10-21 (Computational Economics)
- NEP-ECM-2006-10-21 (Econometrics)
- NEP-ENE-2006-10-21 (Energy Economics)
- NEP-MIC-2006-10-21 (Microeconomics)
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