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Measuring long-range dependence in electricity prices

  • Rafal Weron

The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this feature of electricity returns by means of Hurst R/S analysis, Detrended Fluctuation Analysis and periodogram regression.

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File URL: http://arxiv.org/pdf/cond-mat/0103621
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Paper provided by arXiv.org in its series Papers with number cond-mat/0103621.

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Date of creation: Mar 2001
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Publication status: Published in in H. Takayasu ed., "Empirical Science of Financial Fluctuations" (Springer-Verlag Tokyo, 2002), pp. 110-119
Handle: RePEc:arx:papers:cond-mat/0103621
Contact details of provider: Web page: http://arxiv.org/

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  1. Weron, Rafal, 2000. "Energy price risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 127-134.
  2. I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996.
  3. Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume, 1997. "From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 95-129.
  4. Thomas Lux, 1996. "Long-term stochastic dependence in financial prices: evidence from the German stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 3(11), pages 701-706.
  5. Weron, R. & Kozłowska, B. & Nowicka-Zagrajek, J., 2001. "Modeling electricity loads in California: a continuous-time approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 344-350.
  6. Weron, Rafał, 2002. "Estimating long-range dependence: finite sample properties and confidence intervals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(1), pages 285-299.
  7. Rafal Weron & Beata Przybylowicz, 2000. "Hurst analysis of electricity price dynamics," HSC Research Reports HSC/00/01, Hugo Steinhaus Center, Wroclaw University of Technology.
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