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Breaking The Power Price Code: What Multifractals And Copulas Reveal About Energy Market Dynamics?

Author

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  • STEPHAN SCHLÃœTER

    (Institute of Energy Engineering and Energy Economics, Ulm University of Applied Sciences, Germany)

  • MILENA KOJIĆ

    (Institute of Economic Sciences, Belgrade, Serbia)

  • PETAR MITIĆ

    (Institute of Economic Sciences, Belgrade, Serbia)

  • ANDREAS VON DÖLLEN

    (Wintershall Dea GmbH, Germany)

  • FERNANDO HENRIQUE ANTUNES DE ARAUJO

    (Federal Institute of Education Science and Technology of Paraíba, Patos, Brazil)

Abstract

This study examines the complex relationship between power prices and energy sources in Germany’s electricity market through an innovative combination of multifractal detrended cross-correlation analysis (MFDCCA) and copula modeling. Analyzing hourly data from 2015 to 2023, we investigate production values from conventional sources (lignite, hard coal, natural gas) and renewables (offshore/onshore wind, pumped storage hydropower). Our copula analysis reveals distinct patterns: offshore wind shows minimal monthly correlation with prices, while onshore wind exhibits strong seasonal negative correlation patterns. The MFDCCA uncovers deeper structural relationships, with fossil fuels displaying persistent long-range correlations and strong multifractal characteristics. Natural gas emerges as both a price driver and volatility amplifier, while wind generation contributes to price fluctuations at scale. Base load sources like lignite and hard coal demonstrate steady correlation structures, aligning with merit order theory. These findings gain particular relevance as Germany’s power market opens to smaller stakeholders, including private households accessing day-ahead prices. Our results suggest that while merit order theory remains fundamentally valid, modern energy markets require more sophisticated modeling approaches to capture their full complexity.

Suggested Citation

  • Stephan Schlãœter & Milena Kojiä† & Petar Mitiä† & Andreas Von Dã–Llen & Fernando Henrique Antunes De Araujo, 2025. "Breaking The Power Price Code: What Multifractals And Copulas Reveal About Energy Market Dynamics?," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 33(05), pages 1-14.
    • Handle: RePEc:wsi:fracta:v:33:y:2025:i:05:n:s0218348x2550046x
    DOI: 10.1142/S0218348X2550046X
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