Multifractal analysis of Power Markets. Some empirical evidence
AbstractThis 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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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0410002.
Length: 11 pages
Date of creation: 03 Oct 2004
Date of revision:
Note: Type of Document - pdf; pages: 11
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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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- 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.
- 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.
- 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.
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