The stability of electricity prices: estimation and inference of the Lyapunov exponents
Abstract
The 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.Download Info
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Paper 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:
Handle: RePEc:hhs:bofrdp:2006_009
Contact details of provider:
Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.suomenpankki.fi/en/
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Related research
Keywords: 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)
References
References listed on IDEASPlease 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.:
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Bask, Mikael, 2007.
"Measuring potential market risk,"
Research Discussion Papers
20/2007, Bank of Finland.
- Bask, Mikael, 2010. "Measuring potential market risk," Journal of Financial Stability, Elsevier, vol. 6(3), pages 180-186, September.
- Bask, Mikael & Widerberg, Anna, 2009.
"Market structure and the stability and volatility of electricity prices,"
Energy Economics,
Elsevier, vol. 31(2), pages 278-288, March.
- Bask, Mikael & Widerberg, Anna, 2008. "Market Structure and the Stability and Volatility of Electricity Prices," Working Papers in Economics 327, University of Gothenburg, Department of Economics.
- Giabardo, Paolo & Zugno, Marco & Pinson, Pierre & Madsen, Henrik, 2010. "Feedback, competition and stochasticity in a day ahead electricity market," Energy Economics, Elsevier, vol. 32(2), pages 292-301, March.
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