Hurst analysis of electricity price dynamics
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.
|Date of creation:||2000|
|Date of revision:|
|Publication status:||Published in Physica A 283 (2000) 462-468.|
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Web page: http://prac.im.pwr.wroc.pl/~hugo
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