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Hurst analysis of electricity price dynamics

  • Rafal Weron
  • Beata Przybylowicz

The price of electricity is extremely volatile, because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. 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.

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File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_00_01.pdf
File Function: Final draft, 2000
Download Restriction: no

Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/00/01.

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Length: 9 pages
Date of creation: 2000
Date of revision:
Publication status: Published in Physica A 283 (2000) 462-468.
Handle: RePEc:wuu:wpaper:hsc0001
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