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Long-term memory in electricity prices: Czech market evidence

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Listed author(s):
  • Ladislav Kristoufek
  • Petra Lunackova

Abstract

We analyze long-term memory properties of hourly prices of electricity in the Czech Republic between 2009 and 2012. As the dynamics of the electricity prices is dominated by cycles -- mainly intraday and daily -- we opt for the detrended fluctuation analysis, which is well suited for such specific series. We find that the electricity prices are non-stationary but strongly mean-reverting which distinguishes them from other financial assets which are usually characterized as unit root series. Such description is attributed to specific features of electricity prices, mainly to non-storability. Additionally, we argue that the rapid mean-reversion is due to the principles of electricity spot prices. These properties are shown to be stable across all studied years.

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File URL: http://arxiv.org/pdf/1309.0582
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Paper provided by arXiv.org in its series Papers with number 1309.0582.

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Date of creation: Sep 2013
Handle: RePEc:arx:papers:1309.0582
Contact details of provider: Web page: http://arxiv.org/

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Find related papers by JEL classification:
  • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
  • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
  • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities

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  1. Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007. "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
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Cited by:

  1. repec:eee:eneeco:v:63:y:2017:i:c:p:301-313 is not listed on IDEAS
  2. Mikkel Bennedsen, 2015. "Rough electricity: a new fractal multi-factor model of electricity spot prices," CREATES Research Papers 2015-42, Department of Economics and Business Economics, Aarhus University.
  3. Fan, Qingju, 2016. "Asymmetric multiscale detrended fluctuation analysis of California electricity spot price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 252-260.
  4. Fan, Qingju & Li, Dan, 2015. "Multifractal cross-correlation analysis in electricity spot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 17-27.

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