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Measuring anti-correlations in the nordic electricity spot market by wavelets

  • Simonsen, Ingve
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    We consider the Nordic electricity spot market from mid-1992 to the end of year 2000. This market is found to be well approximated by an anti-persistent self-affine (mean-reverting) walk. It is characterized by a Hurst exponent of H≃0.41 over three orders of magnitude in time ranging from days to years. We argue that in order to see such a good scaling behavior, and to locate cross-overs, it is crucial that an analyzing technique is used that decouples scales. This is in our case achieved by utilizing a (multi-scale) wavelet approach. The shortcomings of methods that do not decouple scales are illustrated by applying, to the same data set, the classic R/S- and Fourier techniques, for which scaling regimes and/or positions of cross-overs are hard to define.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437102019386
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    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 322 (2003)
    Issue (Month): C ()
    Pages: 597-606

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    Handle: RePEc:eee:phsmap:v:322:y:2003:i:c:p:597-606
    Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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