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Fractal properties of some European electricity markets

Author

Listed:
  • Sergio Bianchi
  • Iva De Bellis
  • Augusto Pianese

Abstract

This paper investigates the fractal behaviour of the electric spot prices traded in some European markets. Whereas the analysis leads to exclude the presence of multifractality, we provide evidence supporting the conclusion that the multifractional Brownian motion can represent a good candidate to model the dynamics of electricity prices.

Suggested Citation

  • Sergio Bianchi & Iva De Bellis & Augusto Pianese, 2010. "Fractal properties of some European electricity markets," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 1(4), pages 395-421.
    • Handle: RePEc:ids:ijfmkd:v:1:y:2010:i:4:p:395-421
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