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Multifractal analysis of Power Markets. Some empirical evidence

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Author Info
Marina Resta (University of Genova)

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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://129.3.20.41/eps/em/papers/0410/0410002.pdf
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Publisher 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://129.3.20.41

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Related research
Keywords: Multifractals; Hurst Coefficient; Power Markets;

Find related papers by JEL classification:
C0 - Mathematical and Quantitative Methods - - General
C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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References listed on IDEAS
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  1. Mihaela Manoliu & Stathis Tompaidis, 2002. "Energy futures prices: term structure models with Kalman filter estimation," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(1), pages 21-43, March. [Downloadable!] (restricted)
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This page was last updated on 2009-11-20.

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