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Multifractal analysis of Power Markets. Some empirical evidence

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  • Marina Resta

    (University of Genova)

Abstract

This work is intended to offer a comparative analysis of the statistical properties of hourly prices in the day–ahead electricity markets of several countries. Starting from the intermittent nature of typical price fluctuations in many power markets, we will provide evidence that working into a stochastic multifractal analysis framework can be of help to asses typical features of day–ahead market prices.

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File URL: http://128.118.178.162/eps/em/papers/0410/0410002.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0410002.

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Length: 11 pages
Date of creation: 03 Oct 2004
Date of revision:
Handle: RePEc:wpa:wuwpem:0410002

Note: Type of Document - pdf; pages: 11
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Web page: http://128.118.178.162

Related research

Keywords: Multifractals; Hurst Coefficient; Power Markets;

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  1. Kantelhardt, Jan W. & Zschiegner, Stephan A. & Koscielny-Bunde, Eva & Havlin, Shlomo & Bunde, Armin & Stanley, H.Eugene, 2002. "Multifractal detrended fluctuation analysis of nonstationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 87-114.
  2. Di Matteo, T. & Aste, T. & Dacorogna, M.M., 2003. "Scaling behaviors in differently developed markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 183-188.
  3. Mihaela Manoliu & Stathis Tompaidis, 2002. "Energy futures prices: term structure models with Kalman filter estimation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 21-43.
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