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Multifractal analysis of Power Markets. Some empirical evidence


  • Marina Resta

    (University of Genova)


This work is intended to offer a comparative analysis of the statistical properties of hourly prices in the day–ahead electricity markets of several countries. Starting from the intermittent nature of typical price fluctuations in many power markets, we will provide evidence that working into a stochastic multifractal analysis framework can be of help to asses typical features of day–ahead market prices.

Suggested Citation

  • Marina Resta, 2004. "Multifractal analysis of Power Markets. Some empirical evidence," Econometrics 0410002, EconWPA.
  • Handle: RePEc:wpa:wuwpem:0410002
    Note: Type of Document - pdf; pages: 11

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    References listed on IDEAS

    1. Di Matteo, T. & Aste, T. & Dacorogna, M.M., 2003. "Scaling behaviors in differently developed markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 183-188.
    2. Mihaela Manoliu & Stathis Tompaidis, 2002. "Energy futures prices: term structure models with Kalman filter estimation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 21-43.
    3. Kantelhardt, Jan W. & Zschiegner, Stephan A. & Koscielny-Bunde, Eva & Havlin, Shlomo & Bunde, Armin & Stanley, H.Eugene, 2002. "Multifractal detrended fluctuation analysis of nonstationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 87-114.
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    More about this item


    Multifractals; Hurst Coefficient; Power Markets;

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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